CBOE Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	51.9119	14.66***
α ARCH Response to squared shocks	0.1239	27.98***
β GARCH Volatility persistence	0.9142	170.78***
ν DF Student-t tail thickness	3.9762	13.04***

V-Lab

CBOE DJIA Volatility Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE DJIA Volatility Index Analyses