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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0205	19.57***
α ARCH Response to squared shocks	0.1202	19.02***
β GARCH Volatility persistence	0.8698	166.34***
γ leverage Additional response to negative shocks	0.3378	9.91***
δ power Transformation power	1.6061	32.64***

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CBOE VIX Tail Hedge Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE VIX Tail Hedge Index Analyses