CBOE Volatility Index

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{name} Model Equation

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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	0.2740	2.52**
αARCH	0.1092	4.20***
βGARCH	0.8762	29.34***
γleverage	-0.0427	-0.30
δpower	1.0594	4.64***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2740	2.52**
α ARCH Response to squared shocks	0.1092	4.20***
β GARCH Volatility persistence	0.8762	29.34***
γ leverage Additional response to negative shocks	-0.0427	-0.30
δ power Transformation power	1.0594	4.64***

V-Lab

CBOE EuroCurrency ETF Volatility Index Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE EuroCurrency ETF Volatility Index Analyses