CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0101	6.55***
α ARCH Response to squared shocks	0.0650	18.47***
β GARCH Volatility persistence	0.9138	242.08***
γ leverage Additional response to negative shocks	0.3476	13.14***

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