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	0.0012	1.29
αARCH	0.0877	0.40
βGARCH	0.8600	4.46***
γleverage	0.1046	0.58

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0012	1.29
α ARCH Response to squared shocks	0.0877	0.40
β GARCH Volatility persistence	0.8600	4.46***
γ leverage Additional response to negative shocks	0.1046	0.58

V-Lab

Allurion Technologies Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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