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	943.2109	1.47
αARCH	0.2748	4.47***
βGARCH	0.9925	232.05***
νDF	4.3433	1.55

Parameter	Value	t-statistic
ω const Unconditional variance weight	943.2109	1.47
α ARCH Response to squared shocks	0.2748	4.47***
β GARCH Volatility persistence	0.9925	232.05***
ν DF Student-t tail thickness	4.3433	1.55

V-Lab

VenHub Global Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other VenHub Global Inc Analyses