CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8007	5.10***
α ARCH Response to squared shocks	0.1163	6.62***
β GARCH Volatility persistence	0.8302	37.74***

γ₁	0.0429	0.82
γ₂	-0.0066	-0.08
γ₃	-0.1019	-1.48
γ₄	0.1341	2.37**
γ₅	-0.0973	-1.83*
γ₆	0.0294	0.75

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