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

How returns affect tomorrow's illiquidity

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	1.4829	3.63***
αARCH	0.5696	4.51***
βGARCH	0.6308	6.11***
γleverage	0.1527	1.61

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4829	3.63***
α ARCH Response to squared shocks	0.5696	4.51***
β GARCH Volatility persistence	0.6308	6.11***
γ leverage Additional response to negative shocks	0.1527	1.61

V-Lab

Rocket One Inc EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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