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	74.3188	1.82*
αARCH	0.1706	3.22***
βGARCH	0.8167	8.29***
νDF	3.0639	2.43**

Parameter	Value	t-statistic
ω const Unconditional variance weight	74.3188	1.82*
α ARCH Response to squared shocks	0.1706	3.22***
β GARCH Volatility persistence	0.8167	8.29***
ν DF Student-t tail thickness	3.0639	2.43**

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Azio AI Holdings Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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