CBOE Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	0.6637	2.78***
αARCH	0.1874	5.05***
βGARCH	0.8113	19.92***

γ₁	0.9305	0.35
γ₂	-1.4223	-0.44
γ₃	0.8726	0.77
γ₄	-0.7535	-1.00
γ₅	0.3274	0.50
γ₆	-0.1083	-0.16
γ₇	1.8244	2.74***
γ₈	-3.1847	-3.21***
γ₉	1.6363	1.62

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6637	2.78***
α ARCH Response to squared shocks	0.1874	5.05***
β GARCH Volatility persistence	0.8113	19.92***

γ₁	0.9305	0.35
γ₂	-1.4223	-0.44
γ₃	0.8726	0.77
γ₄	-0.7535	-1.00
γ₅	0.3274	0.50
γ₆	-0.1083	-0.16
γ₇	1.8244	2.74***
γ₈	-3.1847	-3.21***
γ₉	1.6363	1.62

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