CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day 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	0.8518	6.19***
αARCH	0.0690	6.30***
βGARCH	0.8772	41.28***

γ₁	-0.0326	-1.00
γ₂	0.0909	1.99**
γ₃	-0.1548	-5.29***
γ₄	0.1767	6.16***
γ₅	-0.1380	-4.29***
γ₆	0.1167	2.60***
γ₇	-0.0869	-1.90*
γ₈	0.0280	1.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8518	6.19***
α ARCH Response to squared shocks	0.0690	6.30***
β GARCH Volatility persistence	0.8772	41.28***

γ₁	-0.0326	-1.00
γ₂	0.0909	1.99**
γ₃	-0.1548	-5.29***
γ₄	0.1767	6.16***
γ₅	-0.1380	-4.29***
γ₆	0.1167	2.60***
γ₇	-0.0869	-1.90*
γ₈	0.0280	1.00

V-Lab

Walt Disney Co/The Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Walt Disney Co/The Analyses