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	1.0000	1.12
αARCH	0.3681	12.23***
βGARCH	0.4141	8.02***
γleverage	0.0295	0.99
δpower	0.9857	1.52

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	1.12
α ARCH Response to squared shocks	0.3681	12.23***
β GARCH Volatility persistence	0.4141	8.02***
γ leverage Additional response to negative shocks	0.0295	0.99
δ power Transformation power	0.9857	1.52

V-Lab

TransMedics Group, Inc. Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TransMedics Group, Inc. Analyses