CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2586	9.63***
α ARCH Response to squared shocks	0.2128	27.90***
β GARCH Volatility persistence	0.7647	88.27***
γ leverage Additional response to negative shocks	0.0511	4.42***
δ power Transformation power	1.9746	17.77***

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Vinpearl JSC Asy. Power MEM Volatility Analysis

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