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
ωconst	2.8489	2.21**
αARCH	0.0737	1.98**
βGARCH	0.7651	9.50***
γleverage	0.0197	0.25

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.8489	2.21**
α ARCH Response to squared shocks	0.0737	1.98**
β GARCH Volatility persistence	0.7651	9.50***
γ leverage Additional response to negative shocks	0.0197	0.25

V-Lab

Palantir Technologies Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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