CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.0000
αARCH	0.3350	10.91***
βGARCH	0.9990	342.83***
νDF	7.9329	2.54**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0000
α ARCH Response to squared shocks	0.3350	10.91***
β GARCH Volatility persistence	0.9990	342.83***
ν DF Student-t tail thickness	7.9329	2.54**

V-Lab

LME/COMEX Aluminum GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other LME/COMEX Aluminum Analyses