CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0433	23.54***
α ARCH Response to squared shocks	0.3359	47.41***
β GARCH Volatility persistence	0.9629	720.23***
γ leverage Additional response to negative shocks	-0.0511	-9.95***

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Vietnam Hanoi Stock Exchange Equity Index EGARCH Volatility Analysis

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