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	5.0000	3.47***
αARCH	0.1559	2.52**
βGARCH	0.6432	10.96***
γleverage	0.0081	0.06

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	3.47***
α ARCH Response to squared shocks	0.1559	2.52**
β GARCH Volatility persistence	0.6432	10.96***
γ leverage Additional response to negative shocks	0.0081	0.06

V-Lab

MacroGenics Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MacroGenics Inc Analyses