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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	15.0000	17.64***
α ARCH Response to squared shocks	0.0944	25.38***
β GARCH Volatility persistence	0.7541	179.64***
γ leverage Additional response to negative shocks	-10.0000	-19.88***

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CBOE S&P 500 9-Day Volatility Index AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 9-Day Volatility Index Analyses