CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0533	4.22***
α ARCH Response to squared shocks	0.1269	43.33***
β GARCH Volatility persistence	0.9861	309.98***
ν DF Student-t tail thickness	4.3325	16.84***

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Tadawul All Share TASI Index GAS-GARCH Student T Volatility Analysis

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