CBOE Volatility Index

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{name} Model Equation

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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	62.5537	0.95
αARCH	0.0580	7.90***
βGARCH	0.9924	172.62***
νDF	3.5302	3.79***

Parameter	Value	t-statistic
ω const Unconditional variance weight	62.5537	0.95
α ARCH Response to squared shocks	0.0580	7.90***
β GARCH Volatility persistence	0.9924	172.62***
ν DF Student-t tail thickness	3.5302	3.79***

V-Lab

Modular Medical Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Modular Medical Inc Analyses