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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	7.24***
α ARCH Response to squared shocks	0.0791	17.54***
β GARCH Volatility persistence	0.8312	77.05***
γ leverage Additional response to negative shocks	-1.0000	-44.37***
δ power Transformation power	0.8533	16.78***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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