CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.0373	6.06***
αARCH	0.1726	16.71***
βGARCH	0.8148	70.26***
γleverage	0.0647	2.69***
δpower	0.7299	4.44***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0373	6.06***
α ARCH Response to squared shocks	0.1726	16.71***
β GARCH Volatility persistence	0.8148	70.26***
γ leverage Additional response to negative shocks	0.0647	2.69***
δ power Transformation power	0.7299	4.44***

V-Lab

Bristol-Myers Squibb Co Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bristol-Myers Squibb Co Analyses