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CBOE Russell 2000 Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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Spline Coefficients

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	1.4259	0.00
αARCH	0.6908	0.00
βGARCH	0.9022	0.00
νDF	7.7381	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4259	0.00
α ARCH Response to squared shocks	0.6908	0.00
β GARCH Volatility persistence	0.9022	0.00
ν DF Student-t tail thickness	7.7381	0.00

V-Lab

Pasqal Holding SA GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pasqal Holding SA Analyses