CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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

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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	0.0000	0.00
αARCH	0.3215	1.20
βGARCH	0.8329	8.85***
γleverage	0.0309	0.78

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0000	0.00
α ARCH Response to squared shocks	0.3215	1.20
β GARCH Volatility persistence	0.8329	8.85***
γ leverage Additional response to negative shocks	0.0309	0.78

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Allurion Technologies Inc AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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