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	66
αARCH	0.0211	1.40
βGARCH	0.8666	18.81***
γleverage	0.0271	1.61
λ₁tau intercept	3.2248	2.32**
λ₂forecast adj.	0.7428	3.00***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0211	1.40
β GARCH Volatility persistence	0.8666	18.81***
γ leverage Additional response to negative shocks	0.0271	1.61
λ₁ tau intercept Baseline long-term coefficient	3.2248	2.32**
λ₂ forecast adj. Forecast performance sensitivity	0.7428	3.00***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Tesla Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tesla Inc Analyses