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	0.5637	0.70
αARCH	0.0000	0.00
βGARCH	0.0382	0.00
νDF	200.0000	0.03

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5637	0.70
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.0382	0.00
ν DF Student-t tail thickness	200.0000	0.03

V-Lab

First Eagle US Equity ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other First Eagle US Equity ETF Analyses