CBOE Volatility Index

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CBOE DJIA Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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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	5.0000	0.51
αARCH	0.0322	0.62
βGARCH	0.7780	14.55***
γleverage	0.2680	0.70

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	0.51
α ARCH Response to squared shocks	0.0322	0.62
β GARCH Volatility persistence	0.7780	14.55***
γ leverage Additional response to negative shocks	0.2680	0.70

V-Lab

CID Holdco Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CID Holdco Inc Analyses