CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.1570	25.18***
β GARCH Volatility persistence	0.7482	80.92***
γ leverage Additional response to negative shocks	-0.0397	-5.02***
λ₁ tau intercept Baseline long-term coefficient	0.0029	0.91
λ₂ forecast adj. Forecast performance sensitivity	0.0300	7.07***
λ₃ tau persistence Long-term factor persistence	0.9698	212.81***

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