CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1003	15.76***
α ARCH Response to squared shocks	0.1837	28.02***
β GARCH Volatility persistence	0.9549	344.60***
γ leverage Additional response to negative shocks	-0.0109	-1.81*

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