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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.9844	22.80***
α ARCH Response to squared shocks	0.1493	35.71***
β GARCH Volatility persistence	0.7225	113.72***
γ leverage Additional response to negative shocks	-2.3913	-17.34***

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CBOE Goldman Sachs Volatility Index AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Goldman Sachs Volatility Index Analyses