CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day 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
ωconst	2,444.3044	1.02
αARCH	0.2449	5.82***
βGARCH	0.9971	368.33***
νDF	3.6434	1.75*

Parameter	Value	t-statistic
ω const Unconditional variance weight	2,444.3044	1.02
α ARCH Response to squared shocks	0.2449	5.82***
β GARCH Volatility persistence	0.9971	368.33***
ν DF Student-t tail thickness	3.6434	1.75*

V-Lab

Virtuix Holdings Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Virtuix Holdings Inc Analyses