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	49.8286	0.88
αARCH	0.1829	0.71
βGARCH	0.6543	1.58
νDF	3.3552	0.49

Parameter	Value	t-statistic
ω const Unconditional variance weight	49.8286	0.88
α ARCH Response to squared shocks	0.1829	0.71
β GARCH Volatility persistence	0.6543	1.58
ν DF Student-t tail thickness	3.3552	0.49

V-Lab

Quantum X Labs Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Quantum X Labs Inc Analyses