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	1.0774	9.92***
αARCH	0.0728	8.69***
βGARCH	0.9068	88.75***

γ₁	-0.0044	-3.05***
γ₂	0.0107	3.93***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0774	9.92***
α ARCH Response to squared shocks	0.0728	8.69***
β GARCH Volatility persistence	0.9068	88.75***

γ₁	-0.0044	-3.05***
γ₂	0.0107	3.93***

V-Lab

Home Depot Inc/The Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Home Depot Inc/The Analyses