S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE Skew Index

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
mwindow	91
αARCH	0.4609	8.17***
βGARCH	0.6098	15.28***
γleverage	-0.3526	-4.57***
λ₁tau intercept	10.0000	0.55
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.8414	2.58***

Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.4609	8.17***
β GARCH Volatility persistence	0.6098	15.28***
γ leverage Additional response to negative shocks	-0.3526	-4.57***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.55
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.8414	2.58***

V-Lab

PowerBank Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PowerBank Corp Analyses