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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8529	4.34***
α ARCH Response to squared shocks	0.1991	7.74***
β GARCH Volatility persistence	0.6266	13.98***

γ₁	-0.3286	-2.29**
γ₂	0.4448	2.29**
γ₃	-0.3448	-2.84***
γ₄	0.4836	4.20***
γ₅	-0.3798	-3.20***
γ₆	0.2327	1.74*
γ₇	-0.1894	-1.48
γ₈	0.1272	1.19
γ₉	-0.0651	-0.87

V-Lab

CBOE S&P 500 Left Tail Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 Left Tail Volatility Index Analyses