CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day 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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Param	Value	t-stat
ωconst	1.2542	10.90***
αARCH	0.0639	6.45***
βGARCH	0.8865	54.50***

γ₁	0.0024	0.53
γ₂	-0.0039	-0.52
γ₃	0.0090	1.64
γ₄	-0.0126	-3.80***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2542	10.90***
α ARCH Response to squared shocks	0.0639	6.45***
β GARCH Volatility persistence	0.8865	54.50***

γ₁	0.0024	0.53
γ₂	-0.0039	-0.52
γ₃	0.0090	1.64
γ₄	-0.0126	-3.80***

V-Lab

General Mills Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other General Mills Inc Analyses