CBOE Volatility Index

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CBOE S&P 500 One-Year Volatility Index

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	param	t-stat
$ω$	0.8962	5.76
$α$	0.1307	7.22
$β$	0.7189	18.93
$γ_{1}$	0.0014	0.04
$γ_{2}$	0.0411	0.84
$γ_{3}$	-0.0790	-2.17
$γ_{4}$	0.0490	1.26
$γ_{5}$	-0.0233	-0.71
$γ_{6}$	0.0437	1.57
$γ_{7}$	-0.0595	-2.68

V-Lab

CBOE DJIA Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE DJIA Volatility Index Analyses