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	0.8206	6.06***
αARCH	0.0693	6.26***
βGARCH	0.8755	40.54***

γ₁	-0.0427	-1.33
γ₂	0.1074	2.39**
γ₃	-0.1660	-5.80***
γ₄	0.1847	6.53***
γ₅	-0.1419	-4.37***
γ₆	0.1140	2.46**
γ₇	-0.0713	-1.38
γ₈	-0.0229	-0.38

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8206	6.06***
α ARCH Response to squared shocks	0.0693	6.26***
β GARCH Volatility persistence	0.8755	40.54***

γ₁	-0.0427	-1.33
γ₂	0.1074	2.39**
γ₃	-0.1660	-5.80***
γ₄	0.1847	6.53***
γ₅	-0.1419	-4.37***
γ₆	0.1140	2.46**
γ₇	-0.0713	-1.38
γ₈	-0.0229	-0.38

V-Lab

Walt Disney Co/The Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Walt Disney Co/The Analyses