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
ωconst	6.8589	4.70***
αARCH	0.0330	0.85
βGARCH	0.9487	6.69***
νDF	31.3147	0.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	6.8589	4.70***
α ARCH Response to squared shocks	0.0330	0.85
β GARCH Volatility persistence	0.9487	6.69***
ν DF Student-t tail thickness	31.3147	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