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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6970	5.54***
α ARCH Response to squared shocks	0.1338	7.01***
β GARCH Volatility persistence	0.6805	15.43***

γ₁	-0.0001	-0.01
γ₂	0.0147	0.77
γ₃	-0.0554	-3.73***
γ₄	0.0974	4.31***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 Spot Volatility Index Analyses