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	4.1684	2.64***
αARCH	0.1057	1.53
βGARCH	0.7371	9.00***
γleverage	-0.0695	-0.87

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.1684	2.64***
α ARCH Response to squared shocks	0.1057	1.53
β GARCH Volatility persistence	0.7371	9.00***
γ leverage Additional response to negative shocks	-0.0695	-0.87

V-Lab

BARK Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BARK Inc Analyses