CBOE 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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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	0.0144	1.70*
αARCH	0.1447	2.46**
βGARCH	0.5154	2.25**

γ₁	-82.6460	-0.91
γ₂	90.5323	0.71
γ₃	17.7893	0.32
γ₄	44.6338	1.37
γ₅	-185.5923	-4.87***
γ₆	113.6493	2.39**
γ₇	104.4439	2.68***
γ₈	-179.8377	-4.86***
γ₉	80.1372	2.35**
γ₁₀	-0.8964	-0.04

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0144	1.70*
α ARCH Response to squared shocks	0.1447	2.46**
β GARCH Volatility persistence	0.5154	2.25**

γ₁	-82.6460	-0.91
γ₂	90.5323	0.71
γ₃	17.7893	0.32
γ₄	44.6338	1.37
γ₅	-185.5923	-4.87***
γ₆	113.6493	2.39**
γ₇	104.4439	2.68***
γ₈	-179.8377	-4.86***
γ₉	80.1372	2.35**
γ₁₀	-0.8964	-0.04

V-Lab

Boost Run Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Boost Run Inc Analyses