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	81
αARCH	0.5312	2.52**
βGARCH	0.1615	1.96*
γleverage	-0.5000	-2.38**
λ₁tau intercept	5.1384	0.84
λ₂forecast adj.	0.0782	1.13
λ₃tau persistence	0.8678	6.60***

Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.5312	2.52**
β GARCH Volatility persistence	0.1615	1.96*
γ leverage Additional response to negative shocks	-0.5000	-2.38**
λ₁ tau intercept Baseline long-term coefficient	5.1384	0.84
λ₂ forecast adj. Forecast performance sensitivity	0.0782	1.13
λ₃ tau persistence Long-term factor persistence	0.8678	6.60***

V-Lab

Tron Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tron Inc Analyses