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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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	5.0000	1.90*
αARCH	0.1576	1.18
βGARCH	0.7677	14.03***
γleverage	0.0938	0.29

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	1.90*
α ARCH Response to squared shocks	0.1576	1.18
β GARCH Volatility persistence	0.7677	14.03***
γ leverage Additional response to negative shocks	0.0938	0.29

V-Lab

Niki BioSolutions Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Niki BioSolutions Inc Analyses