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

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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
mwindow	36
αARCH	0.0000
βGARCH	0.6177
γleverage	0.5000
λ₁tau intercept	2.4739
λ₂forecast adj.	0.0000
λ₃tau persistence	0.8005

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0000
β GARCH Volatility persistence	0.6177
γ leverage Additional response to negative shocks	0.5000
λ₁ tau intercept Baseline long-term coefficient	2.4739
λ₂ forecast adj. Forecast performance sensitivity	0.0000
λ₃ tau persistence Long-term factor persistence	0.8005

V-Lab

Cardinal Infrastructure Group Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Cardinal Infrastructure Group Inc Analyses