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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6565	30.02***
α ARCH Response to squared shocks	0.3592	11.94***
β GARCH Volatility persistence	0.6978	100.31***
γ leverage Additional response to negative shocks	-0.2992	-8.64***

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