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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	4.6989	19.87***
α ARCH Response to squared shocks	0.2061	19.93***
β GARCH Volatility persistence	0.7853	145.81***
γ leverage Additional response to negative shocks	-0.2061	-19.40***

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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