CBOE Volatility Index

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How volatility evolves over time

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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	3.5425	3.60***
αARCH	0.5401	2.29**
βGARCH	0.4127	3.51***
γleverage	-0.1057	-0.44

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.5425	3.60***
α ARCH Response to squared shocks	0.5401	2.29**
β GARCH Volatility persistence	0.4127	3.51***
γ leverage Additional response to negative shocks	-0.1057	-0.44

V-Lab

BARK Inc Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BARK Inc Analyses