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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Spline Coefficients

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	116
αARCH	0.2645	8.58***
βGARCH	0.4680	16.85***
γleverage	-0.2645	-8.48***
λ₁tau intercept	0.7687	0.92
λ₂forecast adj.	0.4396	12.24***
λ₃tau persistence	0.5604	9.63***

Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.2645	8.58***
β GARCH Volatility persistence	0.4680	16.85***
γ leverage Additional response to negative shocks	-0.2645	-8.48***
λ₁ tau intercept Baseline long-term coefficient	0.7687	0.92
λ₂ forecast adj. Forecast performance sensitivity	0.4396	12.24***
λ₃ tau persistence Long-term factor persistence	0.5604	9.63***

V-Lab

Quantum X Labs Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Quantum X Labs Inc Analyses