CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	4.2335	3.70***
α ARCH Response to squared shocks	0.1750	4.44***
β GARCH Volatility persistence	0.4531	3.66***

γ₁	2.3357	5.38***
γ₂	-3.2877	-5.56***
γ₃	1.9086	4.37***
γ₄	-1.2992	-2.85***
γ₅	0.1794	0.38
γ₆	-0.0718	-0.14
γ₇	0.8247	1.48
γ₈	-1.1676	-2.30**
γ₉	0.8316	1.58
γ₁₀	-0.2110	-0.50

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Unicap Modaraba Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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