CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	1.1951	5.05***
αARCH	0.0653	8.01***
βGARCH	0.9030	74.45***

γ₁	-0.1508	-4.75***
γ₂	0.2345	5.27***
γ₃	-0.1260	-4.62***
γ₄	0.0861	3.09***
γ₅	-0.0493	-1.58
γ₆	-0.0065	-0.14

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1951	5.05***
α ARCH Response to squared shocks	0.0653	8.01***
β GARCH Volatility persistence	0.9030	74.45***

γ₁	-0.1508	-4.75***
γ₂	0.2345	5.27***
γ₃	-0.1260	-4.62***
γ₄	0.0861	3.09***
γ₅	-0.0493	-1.58
γ₆	-0.0065	-0.14

V-Lab

Crown Castle Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Crown Castle Inc Analyses