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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0782	13.18***
α ARCH Response to squared shocks	0.1567	22.41***
β GARCH Volatility persistence	0.8878	329.90***
γ leverage Additional response to negative shocks	-0.0975	-9.80***

V-Lab

CBOE Skew Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Skew Index Analyses