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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2014	21.75***
α ARCH Response to squared shocks	0.3410	16.41***
β GARCH Volatility persistence	0.8885	184.00***
γ leverage Additional response to negative shocks	0.1700	10.15***

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

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News Impact Curve

Volatility Forecast

Parameter Estimates

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