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

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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
mwindow	121
αARCH	0.1020	4.24***
βGARCH	0.7658	16.93***
γleverage	0.1107	1.91*
λ₁tau intercept	3.6696	0.27
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.2655	0.09

Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.1020	4.24***
β GARCH Volatility persistence	0.7658	16.93***
γ leverage Additional response to negative shocks	0.1107	1.91*
λ₁ tau intercept Baseline long-term coefficient	3.6696	0.27
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.2655	0.09

V-Lab

Ponce Financial Group Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ponce Financial Group Inc Analyses