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

How returns affect tomorrow's illiquidity

Spline Coefficients

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
mwindow	76
αARCH	0.1076	2.34**
βGARCH	0.5524	3.57***
γleverage	-0.0819	-1.68*
λ₁tau intercept	8.2089	0.94
λ₂forecast adj.	0.4036	1.19
λ₃tau persistence	0.2215	0.32

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.1076	2.34**
β GARCH Volatility persistence	0.5524	3.57***
γ leverage Additional response to negative shocks	-0.0819	-1.68*
λ₁ tau intercept Baseline long-term coefficient	8.2089	0.94
λ₂ forecast adj. Forecast performance sensitivity	0.4036	1.19
λ₃ tau persistence Long-term factor persistence	0.2215	0.32

V-Lab

C3.ai Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other C3.ai Inc Analyses