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	0.6899	3.96***
αARCH	0.1221	1.21
βGARCH	0.0025	0.00

γ₁	-12.3858	-2.62***
γ₂	16.5853	2.84***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6899	3.96***
α ARCH Response to squared shocks	0.1221	1.21
β GARCH Volatility persistence	0.0025	0.00

γ₁	-12.3858	-2.62***
γ₂	16.5853	2.84***

V-Lab

NextBoat Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NextBoat Inc Analyses