CBOE Volatility Index

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CBOE DJIA 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	0.4524	3.34***
αARCH	0.2187	5.41***
βGARCH	0.5004	6.53***

γ₁	-0.4967	-0.89
γ₂	0.1379	0.18
γ₃	0.9765	2.17**
γ₄	-1.1440	-2.95***
γ₅	0.6993	2.62***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4524	3.34***
α ARCH Response to squared shocks	0.2187	5.41***
β GARCH Volatility persistence	0.5004	6.53***

γ₁	-0.4967	-0.89
γ₂	0.1379	0.18
γ₃	0.9765	2.17**
γ₄	-1.1440	-2.95***
γ₅	0.6993	2.62***

V-Lab

ATIF Holdings Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ATIF Holdings Ltd Analyses