CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0614	27.24***
α ARCH Response to squared shocks	0.2211	50.97***
β GARCH Volatility persistence	0.7761	242.74***
γ leverage Additional response to negative shocks	0.2392	12.51***

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