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	3.8688	1.12
αARCH	0.0670	8.72***
βGARCH	0.9922	138.17***
νDF	6.1229	1.98**

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.8688	1.12
α ARCH Response to squared shocks	0.0670	8.72***
β GARCH Volatility persistence	0.9922	138.17***
ν DF Student-t tail thickness	6.1229	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