CBOE Volatility Index

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CBOE DJIA Volatility Index

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	39.8880	0.66
αARCH	0.0606	1.70*
βGARCH	0.9667	18.85***
νDF	3.5658	0.90

Parameter	Value	t-statistic
ω const Unconditional variance weight	39.8880	0.66
α ARCH Response to squared shocks	0.0606	1.70*
β GARCH Volatility persistence	0.9667	18.85***
ν DF Student-t tail thickness	3.5658	0.90

V-Lab

Cardinal Infrastructure Group Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Cardinal Infrastructure Group Inc Analyses