CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	1.1924	8.15***
αARCH	0.0776	8.63***
βGARCH	0.8850	69.62***

γ₁	0.0183	0.68
γ₂	0.0002	0.00
γ₃	-0.0853	-2.20**
γ₄	0.1321	4.13***
γ₅	-0.1139	-4.42***
γ₆	0.0944	3.19***
γ₇	-0.0588	-1.88*
γ₈	0.0084	0.39

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1924	8.15***
α ARCH Response to squared shocks	0.0776	8.63***
β GARCH Volatility persistence	0.8850	69.62***

γ₁	0.0183	0.68
γ₂	0.0002	0.00
γ₃	-0.0853	-2.20**
γ₄	0.1321	4.13***
γ₅	-0.1139	-4.42***
γ₆	0.0944	3.19***
γ₇	-0.0588	-1.88*
γ₈	0.0084	0.39

V-Lab

Home Depot Inc/The Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Home Depot Inc/The Analyses