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CBOE EFA ETF Volatility Index

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CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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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	0.0040	1.65*
αARCH	0.1302	0.45
βGARCH	0.8659	7.66***
γleverage	0.0078	0.03

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0040	1.65*
α ARCH Response to squared shocks	0.1302	0.45
β GARCH Volatility persistence	0.8659	7.66***
γ leverage Additional response to negative shocks	0.0078	0.03

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BOYD GROUP SERVICES INC Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BOYD GROUP SERVICES INC Analyses