CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2998	14.53***
α ARCH Response to squared shocks	0.0783	12.78***
β GARCH Volatility persistence	0.8705	195.23***
γ leverage Additional response to negative shocks	0.0296	2.34**

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