CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0054	11.27***
α ARCH Response to squared shocks	0.0433	10.42***
β GARCH Volatility persistence	0.9166	157.74***
γ leverage Additional response to negative shocks	-0.0067	-0.95

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