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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.8476	4.24***
α ARCH Response to squared shocks	0.2656	11.00***
β GARCH Volatility persistence	0.5272	14.91***

γ₁	0.0950	2.10**
γ₂	-0.0512	-0.85
γ₃	-0.0837	-1.96*
γ₄	0.1281	2.87***
γ₅	-0.2029	-5.25***
γ₆	0.2104	5.67***
γ₇	-0.1275	-3.80***
γ₈	-0.0243	-0.76
γ₉	0.1343	4.16***
γ₁₀	-0.1125	-4.73***

V-Lab

CBOE Skew Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Skew Index Analyses