CBOE Energy ETF Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0692	41.46***
α ARCH Response to squared shocks	0.1058	64.75***
β GARCH Volatility persistence	0.8462	679.11***
γ leverage Additional response to negative shocks	-0.0348	-2.42**

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