CBOE Volatility Index

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{name} Model Equation

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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	1.4868	6.91***
αARCH	0.0329	0.68
βGARCH	0.0000	0.00

γ₁	5.4968	5.42***
γ₂	-7.2271	-5.52***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4868	6.91***
α ARCH Response to squared shocks	0.0329	0.68
β GARCH Volatility persistence	0.0000	0.00

γ₁	5.4968	5.42***
γ₂	-7.2271	-5.52***

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