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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5682	7.67***
α ARCH Response to squared shocks	0.1662	6.75***
β GARCH Volatility persistence	0.6552	13.37***

γ₁	0.1767	5.87***
γ₂	-0.2541	-5.49***
γ₃	0.1060	3.05***
γ₄	-0.0635	-1.46

V-Lab

CBOE Goldman Sachs Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Goldman Sachs Volatility Index Analyses