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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0712	0.55
α ARCH Response to squared shocks	0.1189	33.74***
β GARCH Volatility persistence	0.7930	195.43***
γ leverage Additional response to negative shocks	-4.1119	-23.39***

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CBOE 3-Month Volatility Index AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE 3-Month Volatility Index Analyses