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
mwindow	31
αARCH	0.7595	2.35**
βGARCH	0.3800	2.62***
γleverage	-0.5000	-1.25
λ₁tau intercept	10.0000	0.45
λ₂forecast adj.	0.0216	0.47
λ₃tau persistence	0.8987	3.98***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.7595	2.35**
β GARCH Volatility persistence	0.3800	2.62***
γ leverage Additional response to negative shocks	-0.5000	-1.25
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.45
λ₂ forecast adj. Forecast performance sensitivity	0.0216	0.47
λ₃ tau persistence Long-term factor persistence	0.8987	3.98***

V-Lab

Rocket One Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Rocket One Inc Analyses