CBOE Volatility Index

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{name} Model Equation

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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	0.1657	2.19**
αARCH	0.1848	3.54***
βGARCH	0.9586	54.43***
γleverage	-0.0508	-0.56

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1657	2.19**
α ARCH Response to squared shocks	0.1848	3.54***
β GARCH Volatility persistence	0.9586	54.43***
γ leverage Additional response to negative shocks	-0.0508	-0.56

V-Lab

Modular Medical Inc EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Modular Medical Inc Analyses