CBOE Volatility Index

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CBOE Russell 2000 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	1.1935	0.72
αARCH	0.1477	0.89
βGARCH	0.3900	0.46
γleverage	0.0386	0.29

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1935	0.72
α ARCH Response to squared shocks	0.1477	0.89
β GARCH Volatility persistence	0.3900	0.46
γ leverage Additional response to negative shocks	0.0386	0.29

V-Lab

Miami International Hold Inc EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Miami International Hold Inc Analyses