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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9796	10.35***
α ARCH Response to squared shocks	0.1363	7.50***
β GARCH Volatility persistence	0.7169	20.28***

γ₁	0.0026	3.13***
γ₂	-0.0038	-3.74***

V-Lab

CBOE Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Volatility Index Analyses