CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.9641	4.95***
α ARCH Response to squared shocks	0.1659	6.93***
β GARCH Volatility persistence	0.7733	25.93***

γ₁	0.2337	3.84***
γ₂	-0.3536	-3.58***
γ₃	0.1936	2.72***
γ₄	-0.0944	-1.43
γ₅	0.0663	1.01
γ₆	-0.1717	-3.56***
γ₇	0.2239	5.16***
γ₈	-0.0744	-1.48
γ₉	-0.1040	-1.72*
γ₁₀	0.2094	3.01***

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Mauritius Stock Exchange SEMDEX Index Spline-GARCH Volatility Analysis

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