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

How returns affect tomorrow's illiquidity

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	7.4915	4.42***
αARCH	0.1683	4.47***
βGARCH	0.6303	19.66***
γleverage	2.2530	0.96

Parameter	Value	t-statistic
ω const Unconditional variance weight	7.4915	4.42***
α ARCH Response to squared shocks	0.1683	4.47***
β GARCH Volatility persistence	0.6303	19.66***
γ leverage Additional response to negative shocks	2.2530	0.96

V-Lab

Modular Medical Inc AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Modular Medical Inc Analyses