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	1.1660	4.07***
αARCH	0.0000	0.00
βGARCH	0.9907	3.76***

γ₁	4.7213	0.60
γ₂	-6.4657	-0.64

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1660	4.07***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9907	3.76***

γ₁	4.7213	0.60
γ₂	-6.4657	-0.64

V-Lab

Innovatr EQ DF PR - 1 YR MAY Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Innovatr EQ DF PR - 1 YR MAY Analyses