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	5.0000	3.91***
αARCH	0.1279	2.65***
βGARCH	0.7120	12.84***
γleverage	-0.0273	-0.41

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	3.91***
α ARCH Response to squared shocks	0.1279	2.65***
β GARCH Volatility persistence	0.7120	12.84***
γ leverage Additional response to negative shocks	-0.0273	-0.41

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Fate Therapeutics Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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