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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	12.4374	10.92***
α ARCH Response to squared shocks	0.1869	24.45***
β GARCH Volatility persistence	0.9189	122.75***
ν DF Student-t tail thickness	4.8720	9.83***

V-Lab

CBOE S&P 500 6-Month Volatility Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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