CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1904	19.29***
α ARCH Response to squared shocks	0.1083	15.86***
β GARCH Volatility persistence	0.8649	201.51***
γ leverage Additional response to negative shocks	-0.0048	-0.48

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