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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2682	18.82***
α ARCH Response to squared shocks	0.1209	36.20***
β GARCH Volatility persistence	0.8467	155.75***
γ leverage Additional response to negative shocks	-1.0000	-93.66***
δ power Transformation power	0.8416	32.90***

V-Lab

CBOE 3-Month Volatility Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE 3-Month Volatility Index Analyses