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

How returns affect tomorrow's illiquidity

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	0.7453	0.66
αARCH	0.0000	0.00
βGARCH	0.9566	0.01
νDF	200.0000	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7453	0.66
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9566	0.01
ν DF Student-t tail thickness	200.0000	0.00

V-Lab

Gabelli Opportunities in Live and Sports ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gabelli Opportunities in Live and Sports ETF Analyses