CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	75.0751	1.80*
αARCH	0.1700	3.20***
βGARCH	0.8172	8.18***
νDF	3.0507	2.43**

Parameter	Value	t-statistic
ω const Unconditional variance weight	75.0751	1.80*
α ARCH Response to squared shocks	0.1700	3.20***
β GARCH Volatility persistence	0.8172	8.18***
ν DF Student-t tail thickness	3.0507	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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