CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	0.2875	1.87*
αARCH	0.2111	3.51***
βGARCH	0.7439	10.44***
γleverage	-0.1227	-0.56
δpower	0.6619	2.27**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2875	1.87*
α ARCH Response to squared shocks	0.2111	3.51***
β GARCH Volatility persistence	0.7439	10.44***
γ leverage Additional response to negative shocks	-0.1227	-0.56
δ power Transformation power	0.6619	2.27**

V-Lab

Chegg Inc APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Chegg Inc Analyses