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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.9422	4.39***
α ARCH Response to squared shocks	0.2668	11.10***
β GARCH Volatility persistence	0.5261	15.02***

γ₁	0.1046	2.36**
γ₂	-0.0605	-1.02
γ₃	-0.0908	-2.15**
γ₄	0.1449	3.32***
γ₅	-0.2227	-5.83***
γ₆	0.2276	6.14***
γ₇	-0.1389	-4.10***
γ₈	-0.0191	-0.56
γ₉	0.1331	3.29***
γ₁₀	-0.1121	-1.77*

V-Lab

CBOE Skew Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Skew Index Analyses