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	28.8220	0.55
αARCH	0.0694	0.49
βGARCH	0.8732	8.02***
νDF	4.1460	0.14

Parameter	Value	t-statistic
ω const Unconditional variance weight	28.8220	0.55
α ARCH Response to squared shocks	0.0694	0.49
β GARCH Volatility persistence	0.8732	8.02***
ν DF Student-t tail thickness	4.1460	0.14

V-Lab

NextBoat Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NextBoat Inc Analyses