CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7305	12.17***
α ARCH Response to squared shocks	0.1086	6.05***
β GARCH Volatility persistence	0.7624	17.59***

γ₁	0.3038	7.00***
γ₂	-0.4346	-6.07***
γ₃	0.2179	3.85***
γ₄	-0.1300	-3.30***

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