CBOE Volatility Index

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	param	t-stat
$ω$	0.9415	8.26
$α$	0.1249	3.80
$β$	0.5682	6.90
$γ_{1}$	0.0315	0.95
$γ_{2}$	-0.0450	-0.89
$γ_{3}$	-0.0149	-0.40
$γ_{4}$	0.1231	2.81

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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