CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{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	1.5178	6.79***
αARCH	0.0825	10.46***
βGARCH	0.8971	101.20***

γ₁	0.0565	3.63***
γ₂	-0.1027	-4.15***
γ₃	0.0847	4.94***
γ₄	-0.0603	-3.65***
γ₅	0.0420	2.19**
γ₆	-0.0318	-2.14**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5178	6.79***
α ARCH Response to squared shocks	0.0825	10.46***
β GARCH Volatility persistence	0.8971	101.20***

γ₁	0.0565	3.63***
γ₂	-0.1027	-4.15***
γ₃	0.0847	4.94***
γ₄	-0.0603	-3.65***
γ₅	0.0420	2.19**
γ₆	-0.0318	-2.14**

V-Lab

American Express Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other American Express Co Analyses