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
mwindow	26
αARCH	0.1551	1.66*
βGARCH	0.3210	2.37**
γleverage	0.2291	1.39
λ₁tau intercept	10.0000	2.03**
λ₂forecast adj.	0.5015	2.01**
λ₃tau persistence	0.2579	0.87

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1551	1.66*
β GARCH Volatility persistence	0.3210	2.37**
γ leverage Additional response to negative shocks	0.2291	1.39
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.03**
λ₂ forecast adj. Forecast performance sensitivity	0.5015	2.01**
λ₃ tau persistence Long-term factor persistence	0.2579	0.87

V-Lab

QTREX Quantum Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other QTREX Quantum Ltd Analyses