CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5750	9.44***
α ARCH Response to squared shocks	0.2575	26.95***
β GARCH Volatility persistence	0.6371	42.23***
γ leverage Additional response to negative shocks	-0.0185	-1.53
δ power Transformation power	1.3305	11.01***

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Vinpearl JSC APARCH Volatility Analysis

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