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	222.0890	0.76
αARCH	0.2132	8.75***
βGARCH	0.9720	28.05***
νDF	3.1370	5.84***

Parameter	Value	t-statistic
ω const Unconditional variance weight	222.0890	0.76
α ARCH Response to squared shocks	0.2132	8.75***
β GARCH Volatility persistence	0.9720	28.05***
ν DF Student-t tail thickness	3.1370	5.84***

V-Lab

Vivakor Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vivakor Inc Analyses