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	5.0000	3.00***
αARCH	0.3029	2.28**
βGARCH	0.5757	5.49***
γleverage	-0.1781	-0.95

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	3.00***
α ARCH Response to squared shocks	0.3029	2.28**
β GARCH Volatility persistence	0.5757	5.49***
γ leverage Additional response to negative shocks	-0.1781	-0.95

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PMV Pharmaceuticals Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PMV Pharmaceuticals Inc Analyses