CBOE Volatility Index

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CBOE DJIA 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	3.8548	1.13
αARCH	0.0669	8.71***
βGARCH	0.9921	137.91***
νDF	6.1289	1.98**

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.8548	1.13
α ARCH Response to squared shocks	0.0669	8.71***
β GARCH Volatility persistence	0.9921	137.91***
ν DF Student-t tail thickness	6.1289	1.98**

V-Lab

Home Depot Inc/The GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Home Depot Inc/The Analyses