CBOE Volatility Index

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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	2.1203	1.96*
αARCH	0.2332	3.22***
βGARCH	0.7611	11.93***

γ₁	0.3690	0.34
γ₂	-2.2365	-1.36
γ₃	5.4067	3.87***
γ₄	-8.9535	-2.90***
γ₅	11.4784	2.14**
γ₆	-9.1212	-2.01**
γ₇	3.6065	2.19**
γ₈	-0.7609	-1.46

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1203	1.96*
α ARCH Response to squared shocks	0.2332	3.22***
β GARCH Volatility persistence	0.7611	11.93***

γ₁	0.3690	0.34
γ₂	-2.2365	-1.36
γ₃	5.4067	3.87***
γ₄	-8.9535	-2.90***
γ₅	11.4784	2.14**
γ₆	-9.1212	-2.01**
γ₇	3.6065	2.19**
γ₈	-0.7609	-1.46

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