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Parameter	Value	t-statistic
ω const Unconditional variance weight	15.0000	20.21***
α ARCH Response to squared shocks	0.1585	19.58***
β GARCH Volatility persistence	0.5769	44.22***
γ leverage Additional response to negative shocks	0.5346	1.26

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CBOE Google Volatility Index AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Google Volatility Index Analyses