CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	9.4158	9.39***
α ARCH Response to squared shocks	0.1610	28.33***
β GARCH Volatility persistence	0.9437	147.80***
ν DF Student-t tail thickness	4.5302	12.98***

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Sui Southern Gas Co Ltd GAS-GARCH Student T Volatility Analysis

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