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	21
αARCH	0.1517	2.40**
βGARCH	0.4776	3.04***
γleverage	-0.0831	-1.01
λ₁tau intercept	10.0000	0.50
λ₂forecast adj.	0.1238	0.56
λ₃tau persistence	0.7114	1.29

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1517	2.40**
β GARCH Volatility persistence	0.4776	3.04***
γ leverage Additional response to negative shocks	-0.0831	-1.01
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.50
λ₂ forecast adj. Forecast performance sensitivity	0.1238	0.56
λ₃ tau persistence Long-term factor persistence	0.7114	1.29

V-Lab

Vulcan Infrastructure and Power Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vulcan Infrastructure and Power Inc Analyses