CBOE Volatility Index

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CBOE DJIA 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
mwindow	61
αARCH	0.5112	2.58***
βGARCH	0.1898	2.21**
γleverage	-0.5000	-2.61***
λ₁tau intercept	1.7565	0.83
λ₂forecast adj.	0.0409	1.29
λ₃tau persistence	0.9398	19.19***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.5112	2.58***
β GARCH Volatility persistence	0.1898	2.21**
γ leverage Additional response to negative shocks	-0.5000	-2.61***
λ₁ tau intercept Baseline long-term coefficient	1.7565	0.83
λ₂ forecast adj. Forecast performance sensitivity	0.0409	1.29
λ₃ tau persistence Long-term factor persistence	0.9398	19.19***

V-Lab

Tron Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tron Inc Analyses