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	0.9895	8.44***
αARCH	0.0794	7.90***
βGARCH	0.8503	46.20***

γ₁	-0.0036	-0.11
γ₂	0.0824	1.63
γ₃	-0.1948	-6.34***
γ₄	0.1892	6.98***
γ₅	-0.1181	-3.77***
γ₆	0.1137	2.69***
γ₇	-0.1463	-2.92***
γ₈	0.1324	2.81***
γ₉	-0.0754	-2.49**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9895	8.44***
α ARCH Response to squared shocks	0.0794	7.90***
β GARCH Volatility persistence	0.8503	46.20***

γ₁	-0.0036	-0.11
γ₂	0.0824	1.63
γ₃	-0.1948	-6.34***
γ₄	0.1892	6.98***
γ₅	-0.1181	-3.77***
γ₆	0.1137	2.69***
γ₇	-0.1463	-2.92***
γ₈	0.1324	2.81***
γ₉	-0.0754	-2.49**

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