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	7.1220	0.83
αARCH	0.0198	0.29
βGARCH	0.9425	6.42***
νDF	12.2378	0.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	7.1220	0.83
α ARCH Response to squared shocks	0.0198	0.29
β GARCH Volatility persistence	0.9425	6.42***
ν DF Student-t tail thickness	12.2378	0.01

V-Lab

Miami International Hold Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Miami International Hold Inc Analyses