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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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	1.2357	7.86***
αARCH	0.1061	10.23***
βGARCH	0.8599	70.42***

γ₁	0.0860	6.32***
γ₂	-0.1354	-6.16***
γ₃	0.0770	4.92***
γ₄	-0.0539	-3.91***
γ₅	0.0594	3.46***
γ₆	-0.0682	-2.43**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2357	7.86***
α ARCH Response to squared shocks	0.1061	10.23***
β GARCH Volatility persistence	0.8599	70.42***

γ₁	0.0860	6.32***
γ₂	-0.1354	-6.16***
γ₃	0.0770	4.92***
γ₄	-0.0539	-3.91***
γ₅	0.0594	3.46***
γ₆	-0.0682	-2.43**

V-Lab

FT Wilshire 5000 Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FT Wilshire 5000 Index Analyses