CBOE 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	0.9979	8.42***
αARCH	0.0789	7.89***
βGARCH	0.8532	47.51***

γ₁	-0.0033	-0.10
γ₂	0.0831	1.63
γ₃	-0.1967	-6.39***
γ₄	0.1907	7.04***
γ₅	-0.1194	-3.74***
γ₆	0.1159	2.69***
γ₇	-0.1479	-2.91***
γ₈	0.1312	2.74***
γ₉	-0.0727	-2.35**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9979	8.42***
α ARCH Response to squared shocks	0.0789	7.89***
β GARCH Volatility persistence	0.8532	47.51***

γ₁	-0.0033	-0.10
γ₂	0.0831	1.63
γ₃	-0.1967	-6.39***
γ₄	0.1907	7.04***
γ₅	-0.1194	-3.74***
γ₆	0.1159	2.69***
γ₇	-0.1479	-2.91***
γ₈	0.1312	2.74***
γ₉	-0.0727	-2.35**

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