CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4434	27.09***
α ARCH Response to squared shocks	0.1088	19.74***
β GARCH Volatility persistence	0.8127	176.64***
γ leverage Additional response to negative shocks	0.0487	4.47***

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