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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2622	16.42***
α ARCH Response to squared shocks	0.2120	21.55***
β GARCH Volatility persistence	0.9114	189.48***
γ leverage Additional response to negative shocks	0.0998	11.77***

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CBOE S&P 500 Constituent Volatility Index EGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 Constituent Volatility Index Analyses