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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Param	Value	t-stat
ωconst	1.2306	10.21***
αARCH	0.0702	6.41***
βGARCH	0.8447	38.92***

γ₁	-0.0143	-0.74
γ₂	0.0441	1.38
γ₃	-0.0691	-2.35**
γ₄	0.0754	2.53**
γ₅	-0.0605	-2.31**
γ₆	0.0659	2.82***
γ₇	-0.0912	-3.66***
γ₈	0.1211	3.11***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2306	10.21***
α ARCH Response to squared shocks	0.0702	6.41***
β GARCH Volatility persistence	0.8447	38.92***

γ₁	-0.0143	-0.74
γ₂	0.0441	1.38
γ₃	-0.0691	-2.35**
γ₄	0.0754	2.53**
γ₅	-0.0605	-2.31**
γ₆	0.0659	2.82***
γ₇	-0.0912	-3.66***
γ₈	0.1211	3.11***

V-Lab

General Mills Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other General Mills Inc Analyses