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
ωconst	1.2923	4.92***
αARCH	0.2543	2.39**
βGARCH	0.3078	1.74*

γ₁	2.9007	3.78***
γ₂	-4.9900	-3.99***
γ₃	2.9772	3.78***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2923	4.92***
α ARCH Response to squared shocks	0.2543	2.39**
β GARCH Volatility persistence	0.3078	1.74*

γ₁	2.9007	3.78***
γ₂	-4.9900	-3.99***
γ₃	2.9772	3.78***

V-Lab

Tron Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tron Inc Analyses