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
ωlong-run	5.4117	1.89*
αscore	0.1463	8.26***
βpersistence	0.9990	1,693.22***
νDF	2.9861	13.32***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	5.4117	1.89*
α score Weight on the scaled score	0.1463	8.26***
β persistence Volatility persistence	0.9990	1,693.22***
ν DF Student-t tail thickness	2.9861	13.32***

V-Lab

Renatus Tactical Acqu Corp I GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Renatus Tactical Acqu Corp I Analyses