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	5.0000	2.97***
αARCH	0.2996	2.22**
βGARCH	0.5738	5.41***
γleverage	-0.1723	-0.91

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	2.97***
α ARCH Response to squared shocks	0.2996	2.22**
β GARCH Volatility persistence	0.5738	5.41***
γ leverage Additional response to negative shocks	-0.1723	-0.91

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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