CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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
mwindow	111
αARCH	0.2766	2.19**
βGARCH	0.5960	8.29***
γleverage	-0.1457	-1.18
λ₁tau intercept	5.0409	1.50
λ₂forecast adj.	0.9894	8.30***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	111
α ARCH Response to squared shocks	0.2766	2.19**
β GARCH Volatility persistence	0.5960	8.29***
γ leverage Additional response to negative shocks	-0.1457	-1.18
λ₁ tau intercept Baseline long-term coefficient	5.0409	1.50
λ₂ forecast adj. Forecast performance sensitivity	0.9894	8.30***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Ocugen Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ocugen Inc Analyses