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	49.9595	0.87
αARCH	0.1807	0.69
βGARCH	0.6523	1.52
νDF	3.3163	0.49

Parameter	Value	t-statistic
ω const Unconditional variance weight	49.9595	0.87
α ARCH Response to squared shocks	0.1807	0.69
β GARCH Volatility persistence	0.6523	1.52
ν DF Student-t tail thickness	3.3163	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