CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0291	18.12***
α ARCH Response to squared shocks	0.3108	55.52***
β GARCH Volatility persistence	0.9583	595.23***
γ leverage Additional response to negative shocks	-0.0860	-19.06***

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