CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0988	22.56***
β GARCH Volatility persistence	0.7914	201.68***
γ leverage Additional response to negative shocks	0.1753	25.19***
λ₁ tau intercept Baseline long-term coefficient	0.0058	4.66***
λ₂ forecast adj. Forecast performance sensitivity	0.0069	4.88***
λ₃ tau persistence Long-term factor persistence	0.9910	503.81***

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