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	11.5988	3.28***
αARCH	0.9296	3.13***
βGARCH	0.2942	2.52**
γleverage	-1.5079	-1.56

Parameter	Value	t-statistic
ω const Unconditional variance weight	11.5988	3.28***
α ARCH Response to squared shocks	0.9296	3.13***
β GARCH Volatility persistence	0.2942	2.52**
γ leverage Additional response to negative shocks	-1.5079	-1.56

V-Lab

Rocket One Inc AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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