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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0715	6.72***
α ARCH Response to squared shocks	0.1316	43.74***
β GARCH Volatility persistence	0.8565	284.56***
γ leverage Additional response to negative shocks	-0.6573	-13.26***

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CBOE Skew Index AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Skew Index Analyses