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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	4.7057	19.88***
α ARCH Response to squared shocks	0.2064	19.94***
β GARCH Volatility persistence	0.7849	145.55***
γ leverage Additional response to negative shocks	-0.2064	-19.41***

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CBOE Volatility Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Volatility Index Analyses