CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	16.7045	3.85***
α ARCH Response to squared shocks	0.2238	20.73***
β GARCH Volatility persistence	0.9795	152.97***
ν DF Student-t tail thickness	8.9888	4.94***

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Vinpearl JSC GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

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