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	0.8815	8.14***
αARCH	0.0551	6.86***
βGARCH	0.9189	79.38***

γ₁	-0.0112	-4.13***
γ₂	0.0173	3.84***
γ₃	-0.0039	-0.56

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8815	8.14***
α ARCH Response to squared shocks	0.0551	6.86***
β GARCH Volatility persistence	0.9189	79.38***

γ₁	-0.0112	-4.13***
γ₂	0.0173	3.84***
γ₃	-0.0039	-0.56

V-Lab

Abbott Laboratories Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Abbott Laboratories Analyses