CBOE Volatility Index

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CBOE Russell 2000 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	318.5067	1.34
αARCH	0.1212	13.03***
βGARCH	0.9819	78.01***
νDF	3.0346	9.54***

Parameter	Value	t-statistic
ω const Unconditional variance weight	318.5067	1.34
α ARCH Response to squared shocks	0.1212	13.03***
β GARCH Volatility persistence	0.9819	78.01***
ν DF Student-t tail thickness	3.0346	9.54***

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Big Digital Energy Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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