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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	4.6160	3.18***
αARCH	0.2516	1.74*
βGARCH	0.5679	5.13***
γleverage	-0.2516	-1.65*

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.6160	3.18***
α ARCH Response to squared shocks	0.2516	1.74*
β GARCH Volatility persistence	0.5679	5.13***
γ leverage Additional response to negative shocks	-0.2516	-1.65*

V-Lab

Osisko Gold Group Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Osisko Gold Group Inc Analyses