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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	9.01***
α ARCH Response to squared shocks	0.0994	7.28***
β GARCH Volatility persistence	0.8635	80.26***
γ leverage Additional response to negative shocks	-0.0956	-6.19***

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CBOE Google Volatility Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Google Volatility Index Analyses