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
mwindow	126
αARCH	0.1255	1.73*
βGARCH	0.0000	0.00
γleverage	0.1445	0.73
λ₁tau intercept	6.9413	1.55
λ₂forecast adj.	0.8523	3.55***
λ₃tau persistence	0.1477	4.25***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1255	1.73*
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.1445	0.73
λ₁ tau intercept Baseline long-term coefficient	6.9413	1.55
λ₂ forecast adj. Forecast performance sensitivity	0.8523	3.55***
λ₃ tau persistence Long-term factor persistence	0.1477	4.25***

V-Lab

Tingo Group Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tingo Group Inc Analyses