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	106
αARCH	0.5000	7.21***
βGARCH	0.6857	31.76***
γleverage	-0.5000	-7.34***
λ₁tau intercept	0.0041	0.83
λ₂forecast adj.	0.5790	3.46***
λ₃tau persistence	0.2057	9.79***

Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.5000	7.21***
β GARCH Volatility persistence	0.6857	31.76***
γ leverage Additional response to negative shocks	-0.5000	-7.34***
λ₁ tau intercept Baseline long-term coefficient	0.0041	0.83
λ₂ forecast adj. Forecast performance sensitivity	0.5790	3.46***
λ₃ tau persistence Long-term factor persistence	0.2057	9.79***

V-Lab

Renatus Tactical Acqu Corp I MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Renatus Tactical Acqu Corp I Analyses