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	0.7924	8.29***
αARCH	0.1870	2.65***
βGARCH	0.4257	4.24***

γ₁	-0.0682	-1.63
γ₂	0.0826	1.51

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7924	8.29***
α ARCH Response to squared shocks	0.1870	2.65***
β GARCH Volatility persistence	0.4257	4.24***

γ₁	-0.0682	-1.63
γ₂	0.0826	1.51

V-Lab

TransMedics Group, Inc. Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TransMedics Group, Inc. Analyses