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	1.8524	2.03**
αARCH	0.5902	6.60***
βGARCH	0.4007	4.58***

γ₁	82.2517	0.37
γ₂	-282.0338	-0.92
γ₃	483.2064	3.30***
γ₄	-518.7382	-4.69***
γ₅	388.6404	3.03***
γ₆	-315.6472	-2.17**
γ₇	241.3046	2.38**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8524	2.03**
α ARCH Response to squared shocks	0.5902	6.60***
β GARCH Volatility persistence	0.4007	4.58***

γ₁	82.2517	0.37
γ₂	-282.0338	-0.92
γ₃	483.2064	3.30***
γ₄	-518.7382	-4.69***
γ₅	388.6404	3.03***
γ₆	-315.6472	-2.17**
γ₇	241.3046	2.38**

V-Lab

Mount Logan Capital Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mount Logan Capital Inc Analyses