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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1876	7.00***
α ARCH Response to squared shocks	0.0967	13.45***
β GARCH Volatility persistence	0.9353	166.60***
γ leverage Additional response to negative shocks	0.2320	31.63***

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CBOE 3-Month Volatility Index EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE 3-Month Volatility Index Analyses