CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1430	31.38***
β GARCH Volatility persistence	0.5944	31.28***
γ leverage Additional response to negative shocks	0.0656	8.14***
λ₁ tau intercept Baseline long-term coefficient	1.1351	0.87
λ₂ forecast adj. Forecast performance sensitivity	0.2704	0.83
λ₃ tau persistence Long-term factor persistence	0.5733	1.12

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