CBOE Volatility Index

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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	42.0306	1.63
αARCH	0.1666	3.97***
βGARCH	0.8624	10.37***
νDF	3.0967	2.72***

Parameter	Value	t-statistic
ω const Unconditional variance weight	42.0306	1.63
α ARCH Response to squared shocks	0.1666	3.97***
β GARCH Volatility persistence	0.8624	10.37***
ν DF Student-t tail thickness	3.0967	2.72***

V-Lab

Rocket One Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Rocket One Inc Analyses