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	1.3170	6.40***
αARCH	0.0470	5.17***
βGARCH	0.9017	47.01***

γ₁	0.0686	3.17***
γ₂	-0.1421	-4.42***
γ₃	0.1358	5.23***
γ₄	-0.1057	-3.94***
γ₅	0.0621	2.30**
γ₆	-0.0138	-0.52
γ₇	-0.0082	-0.37

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3170	6.40***
α ARCH Response to squared shocks	0.0470	5.17***
β GARCH Volatility persistence	0.9017	47.01***

γ₁	0.0686	3.17***
γ₂	-0.1421	-4.42***
γ₃	0.1358	5.23***
γ₄	-0.1057	-3.94***
γ₅	0.0621	2.30**
γ₆	-0.0138	-0.52
γ₇	-0.0082	-0.37

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