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	0.8760	5.88***
αARCH	0.1372	7.10***
βGARCH	0.7464	23.94***

γ₁	0.0861	1.44
γ₂	-0.2252	-2.64***
γ₃	0.3014	5.02***
γ₄	-0.3212	-3.98***
γ₅	0.3418	3.75***
γ₆	-0.3273	-3.67***
γ₇	0.2057	2.66***
γ₈	-0.1114	-1.52
γ₉	0.0818	1.54

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8760	5.88***
α ARCH Response to squared shocks	0.1372	7.10***
β GARCH Volatility persistence	0.7464	23.94***

γ₁	0.0861	1.44
γ₂	-0.2252	-2.64***
γ₃	0.3014	5.02***
γ₄	-0.3212	-3.98***
γ₅	0.3418	3.75***
γ₆	-0.3273	-3.67***
γ₇	0.2057	2.66***
γ₈	-0.1114	-1.52
γ₉	0.0818	1.54

V-Lab

Onity Group Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Onity Group Inc Analyses