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
ωlong-run	55.8652	1.37
αscore	0.1473	2.30**
βpersistence	0.8379	8.12***
νDF	3.0218	1.73*

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	55.8652	1.37
α score Weight on the scaled score	0.1473	2.30**
β persistence Volatility persistence	0.8379	8.12***
ν DF Student-t tail thickness	3.0218	1.73*

V-Lab

Obsidian Therapeutics Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Obsidian Therapeutics Inc Analyses