CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0601	18.86***
α ARCH Response to squared shocks	0.2468	27.63***
β GARCH Volatility persistence	0.7179	172.03***
γ leverage Additional response to negative shocks	0.0375	2.71***

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Vietnam Hanoi Stock Exchange Equity Index Asy. MEM Volatility Analysis

Date Range:

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