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	0.0495	6.02***
αARCH	0.1707	11.61***
βGARCH	0.8131	51.51***
γleverage	0.2420	4.47***
δpower	0.9894	2.51**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0495	6.02***
α ARCH Response to squared shocks	0.1707	11.61***
β GARCH Volatility persistence	0.8131	51.51***
γ leverage Additional response to negative shocks	0.2420	4.47***
δ power Transformation power	0.9894	2.51**

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Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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