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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7682	5.83***
α ARCH Response to squared shocks	0.1348	7.23***
β GARCH Volatility persistence	0.6916	16.51***

γ₁	0.0207	2.34**
γ₂	-0.0383	-3.27***
γ₃	0.0220	4.04***

V-Lab

CBOE S&P 500 Spot Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 Spot Volatility Index Analyses