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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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
ωconst	2.5679	1.58
αARCH	0.1522	17.52***
βGARCH	0.9990	1,558.50***
νDF	2.7574	58.74***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.5679	1.58
α ARCH Response to squared shocks	0.1522	17.52***
β GARCH Volatility persistence	0.9990	1,558.50***
ν DF Student-t tail thickness	2.7574	58.74***

V-Lab

Allurion Technologies Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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