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	2.1241	2.36**
αARCH	0.1765	2.14**
βGARCH	0.2048	0.62

γ₁	13.4357	0.36
γ₂	49.5990	0.87
γ₃	-157.3542	-2.68***
γ₄	164.1649	2.63***
γ₅	-93.2688	-1.96*
γ₆	26.9664	0.83
γ₇	-3.4958	-0.17

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1241	2.36**
α ARCH Response to squared shocks	0.1765	2.14**
β GARCH Volatility persistence	0.2048	0.62

γ₁	13.4357	0.36
γ₂	49.5990	0.87
γ₃	-157.3542	-2.68***
γ₄	164.1649	2.63***
γ₅	-93.2688	-1.96*
γ₆	26.9664	0.83
γ₇	-3.4958	-0.17

V-Lab

Quantum X Labs Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Quantum X Labs Inc Analyses