CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE Skew Index

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	0.0690	6.61***
αARCH	0.1796	18.79***
βGARCH	0.7966	73.04***
γleverage	0.1037	4.91***
δpower	0.8987	5.17***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0690	6.61***
α ARCH Response to squared shocks	0.1796	18.79***
β GARCH Volatility persistence	0.7966	73.04***
γ leverage Additional response to negative shocks	0.1037	4.91***
δ power Transformation power	0.8987	5.17***

V-Lab

Caterpillar Inc Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Caterpillar Inc Analyses