CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0622	13.00***
α ARCH Response to squared shocks	0.0717	12.30***
β GARCH Volatility persistence	0.9310	398.52***
γ leverage Additional response to negative shocks	-0.0218	-2.37**

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Vinalink Intl Freight Forwar GJR-GARCH Volatility Analysis

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