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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7018	4.46***
α ARCH Response to squared shocks	0.2027	6.62***
β GARCH Volatility persistence	0.6471	14.40***

γ₁	-0.5652	-4.03***
γ₂	0.8417	3.68***
γ₃	-0.4240	-2.25**
γ₄	0.2474	1.28
γ₅	-0.1707	-0.81
γ₆	0.1079	0.48
γ₇	0.0464	0.20
γ₈	-0.3763	-1.62
γ₉	0.7271	3.07***
γ₁₀	-1.0591	-2.66***

V-Lab

CBOE 3-Month Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE 3-Month Volatility Index Analyses