CBOE 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	0.8585	7.87***
αARCH	0.0547	7.09***
βGARCH	0.9198	84.17***

γ₁	-0.0128	-4.85***
γ₂	0.0212	5.40***
γ₃	-0.0113	-4.67***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8585	7.87***
α ARCH Response to squared shocks	0.0547	7.09***
β GARCH Volatility persistence	0.9198	84.17***

γ₁	-0.0128	-4.85***
γ₂	0.0212	5.40***
γ₃	-0.0113	-4.67***

V-Lab

Abbott Laboratories Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Abbott Laboratories Analyses