CBOE Volatility Index

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{name} Model Equation

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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	1.4303	1.83*
αARCH	0.2928	3.36***
βGARCH	0.5151	6.04***

γ₁	3.6741	4.89***
γ₂	-4.6600	-4.43***
γ₃	1.5263	2.52**
γ₄	-0.8702	-1.66*
γ₅	0.2944	0.52
γ₆	-0.2433	-0.49
γ₇	1.8089	3.77***
γ₈	-2.5913	-4.01***
γ₉	0.9295	1.67*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4303	1.83*
α ARCH Response to squared shocks	0.2928	3.36***
β GARCH Volatility persistence	0.5151	6.04***

γ₁	3.6741	4.89***
γ₂	-4.6600	-4.43***
γ₃	1.5263	2.52**
γ₄	-0.8702	-1.66*
γ₅	0.2944	0.52
γ₆	-0.2433	-0.49
γ₇	1.8089	3.77***
γ₈	-2.5913	-4.01***
γ₉	0.9295	1.67*

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