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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.6304	18.57***
α ARCH Response to squared shocks	0.1736	13.73***
β GARCH Volatility persistence	0.7886	111.23***
γ leverage Additional response to negative shocks	-0.1736	-13.42***

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CBOE Russell 2000 Volatility Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Russell 2000 Volatility Index Analyses