CBOE Volatility Index

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	param	t-stat
$ω$	0.8982	5.77
$α$	0.1305	7.21
$β$	0.7203	18.98
$γ_{1}$	0.0023	0.07
$γ_{2}$	0.0392	0.82
$γ_{3}$	-0.0776	-2.17
$γ_{4}$	0.0480	1.25
$γ_{5}$	-0.0213	-0.65
$γ_{6}$	0.0394	1.42
$γ_{7}$	-0.0551	-2.54

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