CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8205	3.39***
α ARCH Response to squared shocks	0.1699	10.27***
β GARCH Volatility persistence	0.8026	54.35***

γ₁	0.0420	1.10
γ₂	-0.0998	-1.89*
γ₃	0.0882	3.14***
γ₄	-0.0394	-1.63
γ₅	0.0133	0.81

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