CBOE Volatility Index

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{name} Model Equation

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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	0.9585	8.29***
αARCH	0.0800	7.89***
βGARCH	0.8474	45.17***

γ₁	-0.0171	-0.51
γ₂	0.1064	2.13**
γ₃	-0.2154	-7.09***
γ₄	0.2085	7.72***
γ₅	-0.1352	-4.32***
γ₆	0.1263	2.98***
γ₇	-0.1498	-2.89***
γ₈	0.1228	2.22**
γ₉	-0.0440	-0.66

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9585	8.29***
α ARCH Response to squared shocks	0.0800	7.89***
β GARCH Volatility persistence	0.8474	45.17***

γ₁	-0.0171	-0.51
γ₂	0.1064	2.13**
γ₃	-0.2154	-7.09***
γ₄	0.2085	7.72***
γ₅	-0.1352	-4.32***
γ₆	0.1263	2.98***
γ₇	-0.1498	-2.89***
γ₈	0.1228	2.22**
γ₉	-0.0440	-0.66

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