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	5.0000	2.05**
αARCH	0.0661	1.46
βGARCH	0.8202	11.40***
γleverage	-0.0116	-0.13

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	2.05**
α ARCH Response to squared shocks	0.0661	1.46
β GARCH Volatility persistence	0.8202	11.40***
γ leverage Additional response to negative shocks	-0.0116	-0.13

V-Lab

Keel Infrastructure Corp GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Keel Infrastructure Corp Analyses