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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0098	10.38***
α ARCH Response to squared shocks	0.1368	7.52***
β GARCH Volatility persistence	0.7131	19.96***

γ₁	0.0035	3.53***
γ₂	-0.0062	-3.29***

V-Lab

CBOE Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Volatility Index Analyses