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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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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
αARCH	0.1121	3.03***
βGARCH	0.8720	16.23***
γleverage	-0.0088	-0.10
λ₁tau intercept	122.3990

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1121	3.03***
β GARCH Volatility persistence	0.8720	16.23***
γ leverage Additional response to negative shocks	-0.0088	-0.10
λ₁ tau intercept Baseline long-term coefficient	122.3990

V-Lab

MindForge Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MindForge Inc Analyses