CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-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	1.4022	9.52***
αARCH	0.1220	6.64***
βGARCH	0.6355	13.93***

γ₁	0.1230	4.39***
γ₂	-0.1866	-3.96***
γ₃	0.0418	1.13
γ₄	0.0968	2.87***
γ₅	-0.1433	-4.06***
γ₆	0.0816	2.46**
γ₇	0.0309	0.92
γ₈	-0.1254	-3.26***
γ₉	0.2891	4.63***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4022	9.52***
α ARCH Response to squared shocks	0.1220	6.64***
β GARCH Volatility persistence	0.6355	13.93***

γ₁	0.1230	4.39***
γ₂	-0.1866	-3.96***
γ₃	0.0418	1.13
γ₄	0.0968	2.87***
γ₅	-0.1433	-4.06***
γ₆	0.0816	2.46**
γ₇	0.0309	0.92
γ₈	-0.1254	-3.26***
γ₉	0.2891	4.63***

V-Lab

Boston Scientific Corp Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Boston Scientific Corp Analyses