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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	8.10***
α ARCH Response to squared shocks	0.0568	11.65***
β GARCH Volatility persistence	0.9356	234.31***
γ leverage Additional response to negative shocks	-0.0568	-6.16***

V-Lab

CBOE S&P 500 9-Day Volatility Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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