CBOE 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	0.9546	4.94***
αARCH	0.1547	5.00***
βGARCH	0.8108	35.70***
γleverage	0.0210	0.38

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9546	4.94***
α ARCH Response to squared shocks	0.1547	5.00***
β GARCH Volatility persistence	0.8108	35.70***
γ leverage Additional response to negative shocks	0.0210	0.38

V-Lab

Leonardo Drs Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Leonardo Drs Inc Analyses