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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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	0.6588	3.74***
αARCH	0.1216	1.14
βGARCH	0.0151	0.02

γ₁	-14.6253	-2.62***
γ₂	19.4501	2.83***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6588	3.74***
α ARCH Response to squared shocks	0.1216	1.14
β GARCH Volatility persistence	0.0151	0.02

γ₁	-14.6253	-2.62***
γ₂	19.4501	2.83***

V-Lab

NextBoat Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NextBoat Inc Analyses