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

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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	0.0438	6.72***
αARCH	0.1842	15.32***
βGARCH	0.8015	59.06***
γleverage	0.0825	3.55***
δpower	0.7711	4.10***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0438	6.72***
α ARCH Response to squared shocks	0.1842	15.32***
β GARCH Volatility persistence	0.8015	59.06***
γ leverage Additional response to negative shocks	0.0825	3.55***
δ power Transformation power	0.7711	4.10***

V-Lab

Walt Disney Co/The Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Walt Disney Co/The Analyses