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

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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	1.0788	1.97**
αARCH	0.1770	3.13***
βGARCH	0.6439	6.42***

γ₁	3.3908	1.88*
γ₂	-5.3333	-2.21**
γ₃	4.3958	3.48***
γ₄	-4.4471	-3.09***
γ₅	2.3118	1.50
γ₆	-0.2165	-0.19

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0788	1.97**
α ARCH Response to squared shocks	0.1770	3.13***
β GARCH Volatility persistence	0.6439	6.42***

γ₁	3.3908	1.88*
γ₂	-5.3333	-2.21**
γ₃	4.3958	3.48***
γ₄	-4.4471	-3.09***
γ₅	2.3118	1.50
γ₆	-0.2165	-0.19

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