CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	40.7592	0.56
αARCH	0.1705	0.61
βGARCH	0.7579	1.50
νDF	3.6134	0.35

Parameter	Value	t-statistic
ω const Unconditional variance weight	40.7592	0.56
α ARCH Response to squared shocks	0.1705	0.61
β GARCH Volatility persistence	0.7579	1.50
ν DF Student-t tail thickness	3.6134	0.35

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