CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9221	14.23***
α ARCH Response to squared shocks	0.2834	32.31***
β GARCH Volatility persistence	0.6064	46.25***
γ leverage Additional response to negative shocks	-0.1298	-2.80***

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Vinpearl JSC AGARCH Volatility Analysis

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