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

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	1.5290	6.99***
αARCH	0.0828	10.44***
βGARCH	0.8953	97.47***

γ₁	0.0600	3.95***
γ₂	-0.1086	-4.51***
γ₃	0.0901	5.41***
γ₄	-0.0692	-4.05***
γ₅	0.0600	2.49**
γ₆	-0.0757	-1.92*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5290	6.99***
α ARCH Response to squared shocks	0.0828	10.44***
β GARCH Volatility persistence	0.8953	97.47***

γ₁	0.0600	3.95***
γ₂	-0.1086	-4.51***
γ₃	0.0901	5.41***
γ₄	-0.0692	-4.05***
γ₅	0.0600	2.49**
γ₆	-0.0757	-1.92*

V-Lab

American Express Co Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other American Express Co Analyses