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

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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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1512	3.29***
β GARCH Volatility persistence	0.5850	7.02***
γ leverage Additional response to negative shocks	-0.0321	-0.54
λ₁ tau intercept Baseline long-term coefficient	8.8168	0.29
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.7001	0.65

V-Lab

Fate Therapeutics Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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