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

How returns affect tomorrow's illiquidity

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
mwindow	86
αARCH	0.3476	4.36***
βGARCH	0.4758	7.18***
γleverage	-0.0895	-0.64
λ₁tau intercept	5.3617	1.08
λ₂forecast adj.	0.6296	3.56***
λ₃tau persistence	0.3693	2.27**

Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.3476	4.36***
β GARCH Volatility persistence	0.4758	7.18***
γ leverage Additional response to negative shocks	-0.0895	-0.64
λ₁ tau intercept Baseline long-term coefficient	5.3617	1.08
λ₂ forecast adj. Forecast performance sensitivity	0.6296	3.56***
λ₃ tau persistence Long-term factor persistence	0.3693	2.27**

V-Lab

Vivakor Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vivakor Inc Analyses