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Parameter	Value	t-statistic
ω const Unconditional variance weight	40.2869	11.30***
α ARCH Response to squared shocks	0.1528	19.48***
β GARCH Volatility persistence	0.8944	89.28***
ν DF Student-t tail thickness	4.4001	8.12***

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CBOE Goldman Sachs Volatility Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Goldman Sachs Volatility Index Analyses