CBOE Volatility Index

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{name} Model Equation

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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	0.1037	1.99**
αARCH	0.2465	8.21***
βGARCH	0.7423	23.14***
γleverage	0.0973	2.12**
δpower	0.7888	1.98**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1037	1.99**
α ARCH Response to squared shocks	0.2465	8.21***
β GARCH Volatility persistence	0.7423	23.14***
γ leverage Additional response to negative shocks	0.0973	2.12**
δ power Transformation power	0.7888	1.98**

V-Lab

Contextlogic Holdings Inc Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Contextlogic Holdings Inc Analyses