CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.0342	5.78***
αARCH	0.1298	15.45***
βGARCH	0.8643	96.66***
γleverage	0.1361	5.29***
δpower	1.1329	6.66***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0342	5.78***
α ARCH Response to squared shocks	0.1298	15.45***
β GARCH Volatility persistence	0.8643	96.66***
γ leverage Additional response to negative shocks	0.1361	5.29***
δ power Transformation power	1.1329	6.66***

V-Lab

CVS Health Corp Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CVS Health Corp Analyses