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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
ωconst	386.3733	1.96**
αARCH	0.1483	25.47***
βGARCH	0.9742	80.92***
νDF	2.1696	96.46***

Parameter	Value	t-statistic
ω const Unconditional variance weight	386.3733	1.96**
α ARCH Response to squared shocks	0.1483	25.47***
β GARCH Volatility persistence	0.9742	80.92***
ν DF Student-t tail thickness	2.1696	96.46***

V-Lab

Smart Powerr Corp GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Smart Powerr Corp Analyses