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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8776	19.04***
α ARCH Response to squared shocks	0.2919	18.94***
β GARCH Volatility persistence	0.7725	129.05***
γ leverage Additional response to negative shocks	-0.2919	-18.67***

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CBOE S&P 500 6-Month Volatility Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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