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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9441	17.55***
α ARCH Response to squared shocks	0.1857	14.74***
β GARCH Volatility persistence	0.7806	104.59***
γ leverage Additional response to negative shocks	-0.1463	-8.48***

V-Lab

CBOE S&P 500 Constituent Volatility Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 Constituent Volatility Index Analyses