CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1613	9.17***
α ARCH Response to squared shocks	0.1228	17.19***
β GARCH Volatility persistence	0.8638	109.81***
γ leverage Additional response to negative shocks	-0.0085	-1.01

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