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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	5.13***
α ARCH Response to squared shocks	0.0933	5.97***
β GARCH Volatility persistence	0.8204	65.33***
γ leverage Additional response to negative shocks	-1.0000	-4.00***
δ power Transformation power	1.0928	14.33***

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CBOE IBM Volatility Index APARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE IBM Volatility Index Analyses