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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8469	6.98***
α ARCH Response to squared shocks	0.0951	28.00***
β GARCH Volatility persistence	0.9844	411.73***
ν DF Student-t tail thickness	7.2602	5.88***

V-Lab

CBOE VIX Tail Hedge Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE VIX Tail Hedge Index Analyses