CBOE Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	3.7788	1.81*
αARCH	0.0748	1.75*
βGARCH	0.9705	54.70***
νDF	10.3447	0.25

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.7788	1.81*
α ARCH Response to squared shocks	0.0748	1.75*
β GARCH Volatility persistence	0.9705	54.70***
ν DF Student-t tail thickness	10.3447	0.25

V-Lab

KraneShares Public-Private AI & Technology ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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