CBOE Volatility Index

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CBOE DJIA Volatility Index

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

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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	0.9674	8.22***
αARCH	0.0806	7.93***
βGARCH	0.8473	45.25***

γ₁	-0.0094	-0.27
γ₂	0.0917	1.80*
γ₃	-0.2009	-6.58***
γ₄	0.1932	7.17***
γ₅	-0.1210	-3.76***
γ₆	0.1162	2.69***
γ₇	-0.1467	-2.88***
γ₈	0.1294	2.71***
γ₉	-0.0717	-2.31**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9674	8.22***
α ARCH Response to squared shocks	0.0806	7.93***
β GARCH Volatility persistence	0.8473	45.25***

γ₁	-0.0094	-0.27
γ₂	0.0917	1.80*
γ₃	-0.2009	-6.58***
γ₄	0.1932	7.17***
γ₅	-0.1210	-3.76***
γ₆	0.1162	2.69***
γ₇	-0.1467	-2.88***
γ₈	0.1294	2.71***
γ₉	-0.0717	-2.31**

V-Lab

Bristol-Myers Squibb Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bristol-Myers Squibb Co Analyses