CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day 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	1.3195	6.34***
αARCH	0.0470	5.23***
βGARCH	0.9034	48.43***

γ₁	0.0685	3.14***
γ₂	-0.1419	-4.38***
γ₃	0.1359	5.19***
γ₄	-0.1059	-3.90***
γ₅	0.0622	2.27**
γ₆	-0.0135	-0.50
γ₇	-0.0087	-0.38

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3195	6.34***
α ARCH Response to squared shocks	0.0470	5.23***
β GARCH Volatility persistence	0.9034	48.43***

γ₁	0.0685	3.14***
γ₂	-0.1419	-4.38***
γ₃	0.1359	5.19***
γ₄	-0.1059	-3.90***
γ₅	0.0622	2.27**
γ₆	-0.0135	-0.50
γ₇	-0.0087	-0.38

V-Lab

Boston Scientific Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Boston Scientific Corp Analyses