CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month 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	1.2748	8.07***
αARCH	0.1494	4.03***
βGARCH	0.6274	12.26***

γ₁	-0.0030	-0.06
γ₂	-0.0082	-0.12
γ₃	-0.0483	-1.02
γ₄	0.1653	3.63***
γ₅	-0.1500	-2.86***
γ₆	0.0287	0.46
γ₇	0.0641	1.05
γ₈	-0.0826	-1.32
γ₉	0.1114	1.52
γ₁₀	-0.1468	-2.60***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2748	8.07***
α ARCH Response to squared shocks	0.1494	4.03***
β GARCH Volatility persistence	0.6274	12.26***

γ₁	-0.0030	-0.06
γ₂	-0.0082	-0.12
γ₃	-0.0483	-1.02
γ₄	0.1653	3.63***
γ₅	-0.1500	-2.86***
γ₆	0.0287	0.46
γ₇	0.0641	1.05
γ₈	-0.0826	-1.32
γ₉	0.1114	1.52
γ₁₀	-0.1468	-2.60***

V-Lab

Hain Celestial Group Inc/The Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hain Celestial Group Inc/The Analyses