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CBOE Russell 2000 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
αARCH	0.0000	0.03
βGARCH	0.9258	109.79***
γleverage	0.0517	11.64***
λ₁tau intercept	16.6711	15.18***

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.0000	0.03
β GARCH Volatility persistence	0.9258	109.79***
γ leverage Additional response to negative shocks	0.0517	11.64***
λ₁ tau intercept Baseline long-term coefficient	16.6711	15.18***

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BOYD GROUP SERVICES INC MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BOYD GROUP SERVICES INC Analyses