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	4.1037	3.24***
αARCH	0.5287	2.04**
βGARCH	0.5002	6.27***
γleverage	-0.2748	-0.82

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.1037	3.24***
α ARCH Response to squared shocks	0.5287	2.04**
β GARCH Volatility persistence	0.5002	6.27***
γ leverage Additional response to negative shocks	-0.2748	-0.82

V-Lab

Chegg Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Chegg Inc Analyses