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CBOE Volatility Index

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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	1.2281	2.23**
αARCH	0.0921	9.15***
βGARCH	0.9075	89.88***

γ₁	-0.0621	-1.73*
γ₂	0.0610	1.12
γ₃	0.1162	3.07***
γ₄	-0.2635	-7.68***
γ₅	0.2088	6.72***
γ₆	-0.0627	-2.58***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2281	2.23**
α ARCH Response to squared shocks	0.0921	9.15***
β GARCH Volatility persistence	0.9075	89.88***

γ₁	-0.0621	-1.73*
γ₂	0.0610	1.12
γ₃	0.1162	3.07***
γ₄	-0.2635	-7.68***
γ₅	0.2088	6.72***
γ₆	-0.0627	-2.58***

V-Lab

1Y US Treasury CMT 1 Year Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 1Y US Treasury CMT 1 Year Analyses