CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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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	1.9937	3.62***
αARCH	0.1006	0.83
βGARCH	0.0000	0.00

γ₁	67.5294	3.40***
γ₂	-94.2992	-3.18***
γ₃	36.6329	2.06**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9937	3.62***
α ARCH Response to squared shocks	0.1006	0.83
β GARCH Volatility persistence	0.0000	0.00

γ₁	67.5294	3.40***
γ₂	-94.2992	-3.18***
γ₃	36.6329	2.06**

V-Lab

Virtuix Holdings Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Virtuix Holdings Inc Analyses