CBOE Volatility Index

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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	0.0080	0.62
αARCH	0.1328	1.75*
βGARCH	0.8542	15.51***
γleverage	0.0209	0.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0080	0.62
α ARCH Response to squared shocks	0.1328	1.75*
β GARCH Volatility persistence	0.8542	15.51***
γ leverage Additional response to negative shocks	0.0209	0.22

V-Lab

Miami International Hold Inc Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Miami International Hold Inc Analyses