CBOE 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	0.0321	5.63***
αARCH	0.0725	7.94***
βGARCH	0.9275	104.38***
γleverage	0.5280	6.18***
δpower	1.0872	8.38***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0321	5.63***
α ARCH Response to squared shocks	0.0725	7.94***
β GARCH Volatility persistence	0.9275	104.38***
γ leverage Additional response to negative shocks	0.5280	6.18***
δ power Transformation power	1.0872	8.38***

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Home Depot Inc/The APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Home Depot Inc/The Analyses