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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6602	30.10***
α ARCH Response to squared shocks	0.3583	11.93***
β GARCH Volatility persistence	0.6978	99.99***
γ leverage Additional response to negative shocks	-0.2983	-8.62***

V-Lab

CBOE S&P 500 One-Year Volatility Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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