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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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	6.0294	1.34
αARCH	0.0676	5.92***
βGARCH	0.9798	64.79***
νDF	4.3029	2.28**

Parameter	Value	t-statistic
ω const Unconditional variance weight	6.0294	1.34
α ARCH Response to squared shocks	0.0676	5.92***
β GARCH Volatility persistence	0.9798	64.79***
ν DF Student-t tail thickness	4.3029	2.28**

V-Lab

Kelly Services Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kelly Services Inc Analyses