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	1,128.5371	1.98**
αARCH	0.1008	23.80***
βGARCH	0.9990	2,081.25***
νDF	2.6088	52.80***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1,128.5371	1.98**
α ARCH Response to squared shocks	0.1008	23.80***
β GARCH Volatility persistence	0.9990	2,081.25***
ν DF Student-t tail thickness	2.6088	52.80***

V-Lab

Tingo Group Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tingo Group Inc Analyses