CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0257	13.61***
α ARCH Response to squared shocks	0.2306	33.00***
β GARCH Volatility persistence	0.9674	386.48***
γ leverage Additional response to negative shocks	-0.0661	-8.23***

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