CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3966	18.14***
α ARCH Response to squared shocks	0.1040	34.03***
β GARCH Volatility persistence	0.8451	204.33***
γ leverage Additional response to negative shocks	0.1159	1.59

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