CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0050	13.06***
α ARCH Response to squared shocks	0.1248	21.05***
β GARCH Volatility persistence	0.8146	157.95***
γ leverage Additional response to negative shocks	0.0158	1.59
δ power Transformation power	2.6546	29.75***

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