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

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	16.5627	1.94*
αARCH	0.0813	1.08
βGARCH	0.7958	5.37***
νDF	4.4237	0.38

Parameter	Value	t-statistic
ω const Unconditional variance weight	16.5627	1.94*
α ARCH Response to squared shocks	0.0813	1.08
β GARCH Volatility persistence	0.7958	5.37***
ν DF Student-t tail thickness	4.4237	0.38

V-Lab

Onterris Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Onterris Inc Analyses