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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0824	0.79
α ARCH Response to squared shocks	0.0230	6.70***
β GARCH Volatility persistence	0.9633	227.74***
γ leverage Additional response to negative shocks	0.4491	6.18***
δ power Transformation power	0.5000	1.38

V-Lab

CBOE 1-Day Volatility Index Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE 1-Day Volatility Index Analyses