CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	9.3706	4.62***
α ARCH Response to squared shocks	0.1112	16.82***
β GARCH Volatility persistence	0.9578	96.86***
ν DF Student-t tail thickness	3.8810	8.44***

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Pakistan Intl Bulk Terminal GAS-GARCH Student T Volatility Analysis

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