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CBOE EFA ETF Volatility Index

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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
ωconst	4.5608	2.11**
αARCH	0.1380	3.79***
βGARCH	0.5170	3.25***
γleverage	-2.3925	-2.95***

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.5608	2.11**
α ARCH Response to squared shocks	0.1380	3.79***
β GARCH Volatility persistence	0.5170	3.25***
γ leverage Additional response to negative shocks	-2.3925	-2.95***

V-Lab

Osisko Gold Group Inc AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Osisko Gold Group Inc Analyses