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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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	0.9596	1.70*
αARCH	0.0783	2.49**
βGARCH	0.9646	52.74***
νDF	7.4021	0.47

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9596	1.70*
α ARCH Response to squared shocks	0.0783	2.49**
β GARCH Volatility persistence	0.9646	52.74***
ν DF Student-t tail thickness	7.4021	0.47

V-Lab

Strive 500 ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Strive 500 ETF Analyses