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

How returns affect tomorrow's illiquidity

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	0.1274	1.80*
βGARCH	0.0201	0.34
γleverage	0.1331	0.67
λ₁tau intercept	7.2413	1.59
λ₂forecast adj.	0.9083	3.53***
λ₃tau persistence	0.0917	3.72***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1274	1.80*
β GARCH Volatility persistence	0.0201	0.34
γ leverage Additional response to negative shocks	0.1331	0.67
λ₁ tau intercept Baseline long-term coefficient	7.2413	1.59
λ₂ forecast adj. Forecast performance sensitivity	0.9083	3.53***
λ₃ tau persistence Long-term factor persistence	0.0917	3.72***

V-Lab

Tingo Group Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tingo Group Inc Analyses