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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2700	9.76***
α ARCH Response to squared shocks	0.1883	30.77***
β GARCH Volatility persistence	0.7256	113.95***
γ leverage Additional response to negative shocks	-1.4033	-17.59***

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CBOE S&P 500 One-Year Volatility Index AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 One-Year Volatility Index Analyses