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	0.0255	22.22***
α ARCH Response to squared shocks	0.0628	23.89***
β GARCH Volatility persistence	0.9201	553.27***
γ leverage Additional response to negative shocks	-0.0023	-0.47

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S&P GSCI Biofuel Spot Index GJR-GARCH Volatility Analysis

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