CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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	5.0000	1.56
αARCH	0.0670	1.69*
βGARCH	0.8927	16.88***
γleverage	-0.0670	-1.16

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	1.56
α ARCH Response to squared shocks	0.0670	1.69*
β GARCH Volatility persistence	0.8927	16.88***
γ leverage Additional response to negative shocks	-0.0670	-1.16

V-Lab

Tron Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tron Inc Analyses