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	1.2686	3.71***
αARCH	0.0782	7.84***
βGARCH	0.9091	106.31***

γ₁	-0.0092	-0.17
γ₂	0.0812	0.90
γ₃	-0.1817	-2.44**
γ₄	0.1870	2.73***
γ₅	-0.1379	-1.72*
γ₆	0.1241	1.63
γ₇	-0.1217	-1.75*
γ₈	0.1833	2.22**
γ₉	-0.5117	-5.47***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2686	3.71***
α ARCH Response to squared shocks	0.0782	7.84***
β GARCH Volatility persistence	0.9091	106.31***

γ₁	-0.0092	-0.17
γ₂	0.0812	0.90
γ₃	-0.1817	-2.44**
γ₄	0.1870	2.73***
γ₅	-0.1379	-1.72*
γ₆	0.1241	1.63
γ₇	-0.1217	-1.75*
γ₈	0.1833	2.22**
γ₉	-0.5117	-5.47***

V-Lab

AES Corp/VA Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other AES Corp/VA Analyses