CBOE Volatility Index

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{name} Model Equation

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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	0.5760	3.81***
αARCH	0.2120	5.85***
βGARCH	0.7928	29.22***
γleverage	-0.0517	-1.25

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5760	3.81***
α ARCH Response to squared shocks	0.2120	5.85***
β GARCH Volatility persistence	0.7928	29.22***
γ leverage Additional response to negative shocks	-0.0517	-1.25

V-Lab

Travelzoo Inc Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Travelzoo Inc Analyses