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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2002	9.47***
α ARCH Response to squared shocks	0.1989	7.56***
β GARCH Volatility persistence	0.6464	15.29***

γ₁	-0.0414	-4.72***
γ₂	0.0754	5.33***
γ₃	-0.0529	-3.51***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 Left Tail Volatility Index Analyses