CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3919	13.06***
α ARCH Response to squared shocks	0.4389	26.26***
β GARCH Volatility persistence	0.8043	54.78***
γ leverage Additional response to negative shocks	0.0178	1.28

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