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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0179	19.01***
α ARCH Response to squared shocks	0.0546	7.36***
β GARCH Volatility persistence	0.8655	189.35***
γ leverage Additional response to negative shocks	0.1280	11.47***

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CBOE VIX Tail Hedge Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE VIX Tail Hedge Index Analyses