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Parameter	Value	t-statistic
ω const Unconditional variance weight	81.2703	3.53***
α ARCH Response to squared shocks	0.1278	14.44***
β GARCH Volatility persistence	0.9052	31.59***
ν DF Student-t tail thickness	2.4979	17.08***

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CBOE IBM Volatility Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE IBM Volatility Index Analyses