CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8246	11.64***
α ARCH Response to squared shocks	0.2697	11.61***
β GARCH Volatility persistence	0.6384	43.28***
γ leverage Additional response to negative shocks	-0.0118	-0.28

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Vinpearl JSC GJR-GARCH Volatility Analysis

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