CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month Volatility Index

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CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{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	4.3806	2.14**
αARCH	0.0687	2.81***
βGARCH	0.7305	7.40***

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.3806	2.14**
α ARCH Response to squared shocks	0.0687	2.81***
β GARCH Volatility persistence	0.7305	7.40***

V-Lab

BARK Inc GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BARK Inc Analyses