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
ωconst	0.4433	3.29***
αARCH	0.2198	5.58***
βGARCH	0.4887	6.42***

γ₁	-0.5467	-1.00
γ₂	0.2561	0.35
γ₃	0.8446	2.00**
γ₄	-1.0385	-2.80***
γ₅	0.6430	2.36**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4433	3.29***
α ARCH Response to squared shocks	0.2198	5.58***
β GARCH Volatility persistence	0.4887	6.42***

γ₁	-0.5467	-1.00
γ₂	0.2561	0.35
γ₃	0.8446	2.00**
γ₄	-1.0385	-2.80***
γ₅	0.6430	2.36**

V-Lab

ATIF Holdings Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ATIF Holdings Ltd Analyses