CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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
mwindow	71
αARCH	0.1254	3.01***
βGARCH	0.2692	2.21**
γleverage	0.5000	2.00**
λ₁tau intercept	1.4272	1.04
λ₂forecast adj.	0.1442	1.25
λ₃tau persistence	0.8147	5.92***

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.1254	3.01***
β GARCH Volatility persistence	0.2692	2.21**
γ leverage Additional response to negative shocks	0.5000	2.00**
λ₁ tau intercept Baseline long-term coefficient	1.4272	1.04
λ₂ forecast adj. Forecast performance sensitivity	0.1442	1.25
λ₃ tau persistence Long-term factor persistence	0.8147	5.92***

V-Lab

Kyntra Bio Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kyntra Bio Inc Analyses