CBOE Volatility Index

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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	1.6306	1.96*
αARCH	0.3198	3.34***
βGARCH	0.4424	4.98***

γ₁	4.5201	5.14***
γ₂	-5.5597	-4.41***
γ₃	1.4577	1.75*
γ₄	-0.5295	-0.55
γ₅	0.0078	0.01
γ₆	-0.2059	-0.26
γ₇	0.6982	1.25
γ₈	0.8904	2.23**
γ₉	-2.6927	-5.42***
γ₁₀	1.4638	2.70***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6306	1.96*
α ARCH Response to squared shocks	0.3198	3.34***
β GARCH Volatility persistence	0.4424	4.98***

γ₁	4.5201	5.14***
γ₂	-5.5597	-4.41***
γ₃	1.4577	1.75*
γ₄	-0.5295	-0.55
γ₅	0.0078	0.01
γ₆	-0.2059	-0.26
γ₇	0.6982	1.25
γ₈	0.8904	2.23**
γ₉	-2.6927	-5.42***
γ₁₀	1.4638	2.70***

V-Lab

Tingo Group Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tingo Group Inc Analyses