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
mwindow	56
αARCH	0.1325	2.70***
βGARCH	0.4968	3.13***
γleverage	-0.0492	-0.77
λ₁tau intercept	10.0000	2.52**
λ₂forecast adj.	0.5654	2.50**
λ₃tau persistence	0.0364	0.13

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1325	2.70***
β GARCH Volatility persistence	0.4968	3.13***
γ leverage Additional response to negative shocks	-0.0492	-0.77
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.52**
λ₂ forecast adj. Forecast performance sensitivity	0.5654	2.50**
λ₃ tau persistence Long-term factor persistence	0.0364	0.13

V-Lab

MacroGenics Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MacroGenics Inc Analyses