CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	0.3443	1.77*
αARCH	0.2590	11.00***
βGARCH	0.6724	20.99***
γleverage	-0.0715	-1.85*
δpower	0.9170	2.67***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3443	1.77*
α ARCH Response to squared shocks	0.2590	11.00***
β GARCH Volatility persistence	0.6724	20.99***
γ leverage Additional response to negative shocks	-0.0715	-1.85*
δ power Transformation power	0.9170	2.67***

V-Lab

Appian Corp Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Appian Corp Analyses