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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.6490	17.91***
α ARCH Response to squared shocks	0.1718	17.78***
β GARCH Volatility persistence	0.8465	140.30***
γ leverage Additional response to negative shocks	-0.1436	-10.00***

V-Lab

CBOE DJIA Volatility Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE DJIA Volatility Index Analyses