CBOE Volatility Index

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{name} Model Equation

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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	0.1340	3.44***
αARCH	0.2852	9.04***
βGARCH	0.6990	21.50***
γleverage	-0.0075	-0.14
δpower	1.6537	5.67***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1340	3.44***
α ARCH Response to squared shocks	0.2852	9.04***
β GARCH Volatility persistence	0.6990	21.50***
γ leverage Additional response to negative shocks	-0.0075	-0.14
δ power Transformation power	1.6537	5.67***

V-Lab

Ponce Financial Group Inc Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ponce Financial Group Inc Analyses