CBOE Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	1.7075	1.72*
αARCH	0.2286	2.84***
βGARCH	0.7632	11.60***

γ₁	0.3456	0.33
γ₂	-2.2247	-1.36
γ₃	5.4208	3.82***
γ₄	-8.8592	-2.90***
γ₅	11.2272	2.16**
γ₆	-8.9266	-2.04**
γ₇	3.6057	2.25**
γ₈	-0.8165	-1.56

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7075	1.72*
α ARCH Response to squared shocks	0.2286	2.84***
β GARCH Volatility persistence	0.7632	11.60***

γ₁	0.3456	0.33
γ₂	-2.2247	-1.36
γ₃	5.4208	3.82***
γ₄	-8.8592	-2.90***
γ₅	11.2272	2.16**
γ₆	-8.9266	-2.04**
γ₇	3.6057	2.25**
γ₈	-0.8165	-1.56

V-Lab

LME/COMEX Aluminum Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other LME/COMEX Aluminum Analyses