CBOE Apple Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0442	14.53***
α ARCH Response to squared shocks	0.0311	16.30***
β GARCH Volatility persistence	0.9391	614.59***
γ leverage Additional response to negative shocks	0.0562	13.58***

V-Lab

Apple Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Apple Inc Analyses