CBOE Volatility Index

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{name} Model Equation

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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	0.1577	1.66*
αARCH	0.0017	0.04
βGARCH	0.8883	15.39***
γleverage	0.1360	1.16

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1577	1.66*
α ARCH Response to squared shocks	0.0017	0.04
β GARCH Volatility persistence	0.8883	15.39***
γ leverage Additional response to negative shocks	0.1360	1.16

V-Lab

KraneShares Public-Private AI & Technology ETF GJR-GARCH Volatility Analysis

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