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	11.8760	6.26***
αARCH	0.1120	3.26***
βGARCH	0.3283	4.59***
γleverage	-2.1872	-1.33

Parameter	Value	t-statistic
ω const Unconditional variance weight	11.8760	6.26***
α ARCH Response to squared shocks	0.1120	3.26***
β GARCH Volatility persistence	0.3283	4.59***
γ leverage Additional response to negative shocks	-2.1872	-1.33

V-Lab

BARK Inc AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BARK Inc Analyses