CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	1.4426	4.52***
αARCH	0.0709	10.39***
βGARCH	0.9274	132.71***

γ₁	-0.0094	-3.18***
γ₂	0.0138	3.84***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4426	4.52***
α ARCH Response to squared shocks	0.0709	10.39***
β GARCH Volatility persistence	0.9274	132.71***

γ₁	-0.0094	-3.18***
γ₂	0.0138	3.84***

V-Lab

AES Corp/VA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other AES Corp/VA Analyses