CBOE Volatility Index

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How volatility evolves over time

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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
mwindow	26
αARCH	0.5000	25.44***
βGARCH	0.7450	24.76***
γleverage	-0.5000	-26.54***
λ₁tau intercept	1.1347	0.34
λ₂forecast adj.	0.0526	0.73
λ₃tau persistence	0.9474	5.53***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.5000	25.44***
β GARCH Volatility persistence	0.7450	24.76***
γ leverage Additional response to negative shocks	-0.5000	-26.54***
λ₁ tau intercept Baseline long-term coefficient	1.1347	0.34
λ₂ forecast adj. Forecast performance sensitivity	0.0526	0.73
λ₃ tau persistence Long-term factor persistence	0.9474	5.53***

V-Lab

Trulieve Cannabis Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Trulieve Cannabis Corp Analyses