CBOE Google 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
mwindow	61
αARCH	0.0212	2.00**
βGARCH	0.9095	41.22***
γleverage	0.0579	3.86***
λ₁tau intercept	0.0052	0.46
λ₂forecast adj.	0.0029	0.75
λ₃tau persistence	0.9957	148.60***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0212	2.00**
β GARCH Volatility persistence	0.9095	41.22***
γ leverage Additional response to negative shocks	0.0579	3.86***
λ₁ tau intercept Baseline long-term coefficient	0.0052	0.46
λ₂ forecast adj. Forecast performance sensitivity	0.0029	0.75
λ₃ tau persistence Long-term factor persistence	0.9957	148.60***

V-Lab

Alphabet Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Alphabet Inc Analyses