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
ωconst	33.7646	1.09
αARCH	0.0534	8.73***
βGARCH	0.9891	103.89***
νDF	3.1791	6.07***

Parameter	Value	t-statistic
ω const Unconditional variance weight	33.7646	1.09
α ARCH Response to squared shocks	0.0534	8.73***
β GARCH Volatility persistence	0.9891	103.89***
ν DF Student-t tail thickness	3.1791	6.07***

V-Lab

Tectonic Therapeutic Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tectonic Therapeutic Inc Analyses