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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0013	0.60
α ARCH Response to squared shocks	0.2289	22.67***
β GARCH Volatility persistence	0.9730	753.09***
γ leverage Additional response to negative shocks	-0.0865	-10.84***

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CBOE VIX Tail Hedge Index EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE VIX Tail Hedge Index Analyses