CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1881	13.24***
α ARCH Response to squared shocks	0.1010	27.38***
β GARCH Volatility persistence	0.8761	199.56***
γ leverage Additional response to negative shocks	0.0703	3.70***
δ power Transformation power	1.4646	22.82***

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