CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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	0.7675	7.62***
αARCH	0.1081	7.58***
βGARCH	0.8496	43.99***

γ₁	-0.0042	-0.22
γ₂	-0.0320	-1.02
γ₃	0.0707	2.19**
γ₄	-0.0518	-1.32
γ₅	0.0475	1.44
γ₆	-0.0767	-3.01***
γ₇	0.0696	3.38***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7675	7.62***
α ARCH Response to squared shocks	0.1081	7.58***
β GARCH Volatility persistence	0.8496	43.99***

γ₁	-0.0042	-0.22
γ₂	-0.0320	-1.02
γ₃	0.0707	2.19**
γ₄	-0.0518	-1.32
γ₅	0.0475	1.44
γ₆	-0.0767	-3.01***
γ₇	0.0696	3.38***

V-Lab

Big Sky Industrial Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Big Sky Industrial Inc Analyses