CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month 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	0.0647	7.31***
αARCH	0.2051	18.18***
βGARCH	0.7689	61.21***
γleverage	0.1100	6.19***
δpower	1.2305	6.58***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0647	7.31***
α ARCH Response to squared shocks	0.2051	18.18***
β GARCH Volatility persistence	0.7689	61.21***
γ leverage Additional response to negative shocks	0.1100	6.19***
δ power Transformation power	1.2305	6.58***

V-Lab

Chevron Corp Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Chevron Corp Analyses