CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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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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	1.0487	7.78***
αARCH	0.0757	7.27***
βGARCH	0.8696	51.62***

γ₁	0.0217	0.51
γ₂	0.0471	0.68
γ₃	-0.1491	-2.60***
γ₄	0.0725	1.37
γ₅	0.0833	1.99**
γ₆	-0.1667	-4.52***
γ₇	0.1600	3.69***
γ₈	-0.0519	-1.01
γ₉	-0.0706	-1.44
γ₁₀	0.0704	2.22**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0487	7.78***
α ARCH Response to squared shocks	0.0757	7.27***
β GARCH Volatility persistence	0.8696	51.62***

γ₁	0.0217	0.51
γ₂	0.0471	0.68
γ₃	-0.1491	-2.60***
γ₄	0.0725	1.37
γ₅	0.0833	1.99**
γ₆	-0.1667	-4.52***
γ₇	0.1600	3.69***
γ₈	-0.0519	-1.01
γ₉	-0.0706	-1.44
γ₁₀	0.0704	2.22**

V-Lab

Boeing Co/The Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Boeing Co/The Analyses