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	1.0000	1.02
αARCH	0.2114	1.15
βGARCH	0.7886	6.14***
γleverage	0.2084	1.27
δpower	1.8970	6.40***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	1.02
α ARCH Response to squared shocks	0.2114	1.15
β GARCH Volatility persistence	0.7886	6.14***
γ leverage Additional response to negative shocks	0.2084	1.27
δ power Transformation power	1.8970	6.40***

V-Lab

Tingo Group Inc Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tingo Group Inc Analyses