CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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	0.6734	7.97***
αARCH	0.0650	7.18***
βGARCH	0.8905	47.84***

γ₁	-0.0841	-2.24**
γ₂	0.1472	2.57**
γ₃	-0.0885	-2.08**
γ₄	-0.0013	-0.03
γ₅	0.0896	1.95*
γ₆	-0.1635	-3.50***
γ₇	0.1623	3.22***
γ₈	-0.0142	-0.29
γ₉	-0.1137	-2.40**
γ₁₀	0.0830	2.31**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6734	7.97***
α ARCH Response to squared shocks	0.0650	7.18***
β GARCH Volatility persistence	0.8905	47.84***

γ₁	-0.0841	-2.24**
γ₂	0.1472	2.57**
γ₃	-0.0885	-2.08**
γ₄	-0.0013	-0.03
γ₅	0.0896	1.95*
γ₆	-0.1635	-3.50***
γ₇	0.1623	3.22***
γ₈	-0.0142	-0.29
γ₉	-0.1137	-2.40**
γ₁₀	0.0830	2.31**

V-Lab

Ford Motor Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ford Motor Co Analyses