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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	43.7636	0.82
αARCH	0.1720	2.78***
βGARCH	0.9379	11.40***
νDF	4.3221	1.23

Parameter	Value	t-statistic
ω const Unconditional variance weight	43.7636	0.82
α ARCH Response to squared shocks	0.1720	2.78***
β GARCH Volatility persistence	0.9379	11.40***
ν DF Student-t tail thickness	4.3221	1.23

V-Lab

PowerBank Corp GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PowerBank Corp Analyses