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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	0.4930	0.77
αARCH	0.1210	2.28**
βGARCH	0.8948	31.20***
γleverage	0.2008	0.08

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4930	0.77
α ARCH Response to squared shocks	0.1210	2.28**
β GARCH Volatility persistence	0.8948	31.20***
γ leverage Additional response to negative shocks	0.2008	0.08

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Global Mofy AI Ltd AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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