CBOE Volatility Index

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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
ωconst	86.3028	1.48
αARCH	0.1886	1.46
βGARCH	0.6897	3.56***
νDF	3.2254	1.11

Parameter	Value	t-statistic
ω const Unconditional variance weight	86.3028	1.48
α ARCH Response to squared shocks	0.1886	1.46
β GARCH Volatility persistence	0.6897	3.56***
ν DF Student-t tail thickness	3.2254	1.11

V-Lab

Tron Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tron Inc Analyses