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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1437	9.17***
α ARCH Response to squared shocks	0.1443	17.78***
β GARCH Volatility persistence	0.9362	231.61***
γ leverage Additional response to negative shocks	0.2129	26.22***

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CBOE S&P 500 6-Month Volatility Index EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 6-Month Volatility Index Analyses