CBOE Volatility Index

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CBOE DJIA Volatility Index

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	0.3359	2.17**
αARCH	0.1064	3.58***
βGARCH	0.7713	18.41***
γleverage	0.1057	1.26

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3359	2.17**
α ARCH Response to squared shocks	0.1064	3.58***
β GARCH Volatility persistence	0.7713	18.41***
γ leverage Additional response to negative shocks	0.1057	1.26

V-Lab

Ponce Financial Group Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ponce Financial Group Inc Analyses