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	0.0070	18.39***
α ARCH Response to squared shocks	0.1269	43.59***
β GARCH Volatility persistence	0.9846	1,236.94***
γ leverage Additional response to negative shocks	0.0031	1.23

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