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

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	22.1883	1.04
αARCH	0.0886	1.96*
βGARCH	0.9333	12.04***
νDF	3.9583	0.93

Parameter	Value	t-statistic
ω const Unconditional variance weight	22.1883	1.04
α ARCH Response to squared shocks	0.0886	1.96*
β GARCH Volatility persistence	0.9333	12.04***
ν DF Student-t tail thickness	3.9583	0.93

V-Lab

BARK Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BARK Inc Analyses