CBOE Volatility Index

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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	0.0528	3.45***
αARCH	0.0966	3.77***
βGARCH	0.9818	172.61***
γleverage	-0.0045	-0.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0528	3.45***
α ARCH Response to squared shocks	0.0966	3.77***
β GARCH Volatility persistence	0.9818	172.61***
γ leverage Additional response to negative shocks	-0.0045	-0.22

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Tesla Inc EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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