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	0.4339	3.34***
αARCH	0.1481	4.36***
βGARCH	0.7020	11.94***

γ₁	-0.9296	-1.39
γ₂	2.1791	2.21**
γ₃	-2.7087	-2.89***
γ₄	2.1535	1.53
γ₅	-0.8712	-0.58
γ₆	0.0776	0.08
γ₇	0.2392	0.49

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4339	3.34***
α ARCH Response to squared shocks	0.1481	4.36***
β GARCH Volatility persistence	0.7020	11.94***

γ₁	-0.9296	-1.39
γ₂	2.1791	2.21**
γ₃	-2.7087	-2.89***
γ₄	2.1535	1.53
γ₅	-0.8712	-0.58
γ₆	0.0776	0.08
γ₇	0.2392	0.49

V-Lab

Ponce Financial Group Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ponce Financial Group Inc Analyses