CBOE Volatility Index

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CBOE Russell 2000 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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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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Parameter	Value	t-statistic
ω const Unconditional variance weight	9.6749	7.87***
α ARCH Response to squared shocks	0.1668	5.31***
β GARCH Volatility persistence	0.4927	11.21***
γ leverage Additional response to negative shocks	-1.2410	-1.53

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Fate Therapeutics Inc AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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