CBOE Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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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	1.5281	7.00***
αARCH	0.0826	10.44***
βGARCH	0.8956	97.96***

γ₁	0.0595	3.94***
γ₂	-0.1078	-4.51***
γ₃	0.0895	5.41***
γ₄	-0.0683	-4.12***
γ₅	0.0594	2.56**
γ₆	-0.0784	-2.08**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5281	7.00***
α ARCH Response to squared shocks	0.0826	10.44***
β GARCH Volatility persistence	0.8956	97.96***

γ₁	0.0595	3.94***
γ₂	-0.1078	-4.51***
γ₃	0.0895	5.41***
γ₄	-0.0683	-4.12***
γ₅	0.0594	2.56**
γ₆	-0.0784	-2.08**

V-Lab

American Express Co Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other American Express Co Analyses