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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Spline Coefficients

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	219.3425	0.77
αARCH	0.2134	8.65***
βGARCH	0.9718	27.93***
νDF	3.1551	5.77***

Parameter	Value	t-statistic
ω const Unconditional variance weight	219.3425	0.77
α ARCH Response to squared shocks	0.2134	8.65***
β GARCH Volatility persistence	0.9718	27.93***
ν DF Student-t tail thickness	3.1551	5.77***

V-Lab

Vivakor Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vivakor Inc Analyses