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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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	0.8192	6.03***
αARCH	0.0691	6.27***
βGARCH	0.8758	40.77***

γ₁	-0.0424	-1.32
γ₂	0.1065	2.37**
γ₃	-0.1650	-5.76***
γ₄	0.1841	6.51***
γ₅	-0.1416	-4.37***
γ₆	0.1143	2.47**
γ₇	-0.0725	-1.40
γ₈	-0.0209	-0.35

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8192	6.03***
α ARCH Response to squared shocks	0.0691	6.27***
β GARCH Volatility persistence	0.8758	40.77***

γ₁	-0.0424	-1.32
γ₂	0.1065	2.37**
γ₃	-0.1650	-5.76***
γ₄	0.1841	6.51***
γ₅	-0.1416	-4.37***
γ₆	0.1143	2.47**
γ₇	-0.0725	-1.40
γ₈	-0.0209	-0.35

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