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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	14.79***
α ARCH Response to squared shocks	0.0972	12.58***
β GARCH Volatility persistence	0.8796	225.60***
γ leverage Additional response to negative shocks	0.0128	0.76

V-Lab

CBOE S&P 500 Left Tail Volatility Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 Left Tail Volatility Index Analyses