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
ωconst	5.6790	1.28
αARCH	0.0911	9.01***
βGARCH	0.9862	91.21***
νDF	4.9662	2.86***

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.6790	1.28
α ARCH Response to squared shocks	0.0911	9.01***
β GARCH Volatility persistence	0.9862	91.21***
ν DF Student-t tail thickness	4.9662	2.86***

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Ryman Hospitality Properties Inc GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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