CBOE 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
mwindow	126
αARCH	0.7513	3.19***
βGARCH	0.1514	2.16**
γleverage	-0.5000	-1.88*
λ₁tau intercept	0.0182	0.28
λ₂forecast adj.	0.0064	0.85
λ₃tau persistence	0.9936	101.22***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.7513	3.19***
β GARCH Volatility persistence	0.1514	2.16**
γ leverage Additional response to negative shocks	-0.5000	-1.88*
λ₁ tau intercept Baseline long-term coefficient	0.0182	0.28
λ₂ forecast adj. Forecast performance sensitivity	0.0064	0.85
λ₃ tau persistence Long-term factor persistence	0.9936	101.22***

V-Lab

Chegg Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Chegg Inc Analyses