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	1.0648	2.07**
αARCH	0.1672	3.23***
βGARCH	0.6435	6.47***

γ₁	3.1091	1.88*
γ₂	-4.8476	-2.19**
γ₃	4.0360	3.41***
γ₄	-4.2880	-3.09***
γ₅	2.3394	1.52
γ₆	-0.2242	-0.20

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0648	2.07**
α ARCH Response to squared shocks	0.1672	3.23***
β GARCH Volatility persistence	0.6435	6.47***

γ₁	3.1091	1.88*
γ₂	-4.8476	-2.19**
γ₃	4.0360	3.41***
γ₄	-4.2880	-3.09***
γ₅	2.3394	1.52
γ₆	-0.2242	-0.20

V-Lab

Alpha Compute Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Alpha Compute Corp Analyses