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
ωconst	3.9712	0.04
αARCH	0.0000	0.00
βGARCH	0.9064	0.25
γleverage	0.0000	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.9712	0.04
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9064	0.25
γ leverage Additional response to negative shocks	0.0000	0.00

V-Lab

Quantum X Labs Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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