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
mwindow	41
αARCH	0.2387	6.88***
βGARCH	0.5997	11.53***
γleverage	0.0341	0.55
λ₁tau intercept	1.5614	1.21
λ₂forecast adj.	0.0622	1.38
λ₃tau persistence	0.8994	11.94***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.2387	6.88***
β GARCH Volatility persistence	0.5997	11.53***
γ leverage Additional response to negative shocks	0.0341	0.55
λ₁ tau intercept Baseline long-term coefficient	1.5614	1.21
λ₂ forecast adj. Forecast performance sensitivity	0.0622	1.38
λ₃ tau persistence Long-term factor persistence	0.8994	11.94***

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AIM ImmunoTech Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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