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	0.9308	8.02***
αARCH	0.0811	7.94***
βGARCH	0.8449	44.37***

γ₁	-0.0235	-0.70
γ₂	0.1153	2.30**
γ₃	-0.2189	-7.24***
γ₄	0.2098	7.82***
γ₅	-0.1356	-4.30***
γ₆	0.1264	2.96***
γ₇	-0.1484	-2.85***
γ₈	0.1180	2.12**
γ₉	-0.0314	-0.47

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9308	8.02***
α ARCH Response to squared shocks	0.0811	7.94***
β GARCH Volatility persistence	0.8449	44.37***

γ₁	-0.0235	-0.70
γ₂	0.1153	2.30**
γ₃	-0.2189	-7.24***
γ₄	0.2098	7.82***
γ₅	-0.1356	-4.30***
γ₆	0.1264	2.96***
γ₇	-0.1484	-2.85***
γ₈	0.1180	2.12**
γ₉	-0.0314	-0.47

V-Lab

Bristol-Myers Squibb Co Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bristol-Myers Squibb Co Analyses