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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2287	20.72***
α ARCH Response to squared shocks	0.2892	18.46***
β GARCH Volatility persistence	0.7516	126.17***
γ leverage Additional response to negative shocks	-0.2892	-18.72***

V-Lab

CBOE 3-Month Volatility Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE 3-Month Volatility Index Analyses