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	0.8767	5.61***
αARCH	0.1436	8.79***
βGARCH	0.8177	41.18***

γ₁	-0.0131	-1.64
γ₂	0.0222	1.90*
γ₃	-0.0135	-2.01**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8767	5.61***
α ARCH Response to squared shocks	0.1436	8.79***
β GARCH Volatility persistence	0.8177	41.18***

γ₁	-0.0131	-1.64
γ₂	0.0222	1.90*
γ₃	-0.0135	-2.01**

V-Lab

Chemung Financial Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Chemung Financial Corp Analyses