CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2895	8.35***
α ARCH Response to squared shocks	0.1231	15.45***
β GARCH Volatility persistence	0.8464	144.24***
γ leverage Additional response to negative shocks	-0.0151	-1.77*
δ power Transformation power	2.4496	13.89***

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