CBOE Volatility Index

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CBOE Russell 2000 Volatility Index

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CBOE Skew Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	5.25***
α ARCH Response to squared shocks	0.1822	7.12***
β GARCH Volatility persistence	0.3427	3.36***
γ leverage Additional response to negative shocks	1.0000	278.32***
δ power Transformation power	0.6290	5.53***

V-Lab

Columbia Research Enhanced Small Cap ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Columbia Research Enhanced Small Cap ETF Analyses