CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	4.4591	11.82***
α ARCH Response to squared shocks	0.0920	9.89***
β GARCH Volatility persistence	0.8493	111.48***
γ leverage Additional response to negative shocks	0.0112	0.57

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