CBOE Volatility Index

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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	0.6175	2.43**
αARCH	0.4101	2.57**
βGARCH	0.0361	0.70

γ₁	-11.9484	-1.76*
γ₂	18.1545	1.69*
γ₃	-11.4932	-1.72*
γ₄	10.8710	2.45**
γ₅	-11.0434	-3.46***
γ₆	11.6279	3.97***
γ₇	-11.6112	-4.03***
γ₈	10.3232	4.41***
γ₉	-7.4720	-5.38***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6175	2.43**
α ARCH Response to squared shocks	0.4101	2.57**
β GARCH Volatility persistence	0.0361	0.70

γ₁	-11.9484	-1.76*
γ₂	18.1545	1.69*
γ₃	-11.4932	-1.72*
γ₄	10.8710	2.45**
γ₅	-11.0434	-3.46***
γ₆	11.6279	3.97***
γ₇	-11.6112	-4.03***
γ₈	10.3232	4.41***
γ₉	-7.4720	-5.38***

V-Lab

QTREX Quantum Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other QTREX Quantum Ltd Analyses