CBOE Volatility Index

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CBOE DJIA Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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Spline Coefficients

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	84.9780	1.45
αARCH	0.1879	1.51
βGARCH	0.7056	3.75***
νDF	3.2145	1.15

Parameter	Value	t-statistic
ω const Unconditional variance weight	84.9780	1.45
α ARCH Response to squared shocks	0.1879	1.51
β GARCH Volatility persistence	0.7056	3.75***
ν DF Student-t tail thickness	3.2145	1.15

V-Lab

Tron Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tron Inc Analyses