An Ornstein–Uhlenbeck Model with the Stochastic Volatility Process and Tempered Stable Process for VIX Option Pricing

Table 2

Results of GARCH (1, 1).

Equation: GARCH = C (1) + C (2)  RESID (−1)^2 + C (3)  GARCH (−1)
Variable	CoefficientError		z-statistic	Prob.
C	0.002206	0.000410	5.376105	0.0000
RESID (−1)^2	0.241627	0.043032	5.614988	0.0000
GARCH (−1)	0.363126	0.098939	3.670203	0.0002