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CBOE Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1173	20.38***
α ARCH Response to squared shocks	0.0918	26.71***
β GARCH Volatility persistence	0.9173	554.57***
γ leverage Additional response to negative shocks	-0.0369	-7.49***

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S&P GSCI Natural Gas Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Natural Gas Index Analyses