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	61
αARCH	0.5186	2.48**
βGARCH	0.1665	1.94*
γleverage	-0.5000	-2.46**
λ₁tau intercept	1.8257	0.81
λ₂forecast adj.	0.0406	1.27
λ₃tau persistence	0.9394	18.50***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.5186	2.48**
β GARCH Volatility persistence	0.1665	1.94*
γ leverage Additional response to negative shocks	-0.5000	-2.46**
λ₁ tau intercept Baseline long-term coefficient	1.8257	0.81
λ₂ forecast adj. Forecast performance sensitivity	0.0406	1.27
λ₃ tau persistence Long-term factor persistence	0.9394	18.50***

V-Lab

Tron Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tron Inc Analyses