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	0.0594	4.24***
αARCH	0.1021	7.26***
βGARCH	0.8979	67.76***
γleverage	0.0337	0.49
δpower	1.4038	7.50***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0594	4.24***
α ARCH Response to squared shocks	0.1021	7.26***
β GARCH Volatility persistence	0.8979	67.76***
γ leverage Additional response to negative shocks	0.0337	0.49
δ power Transformation power	1.4038	7.50***

V-Lab

NY Harbor ULSD Heating Oil APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NY Harbor ULSD Heating Oil Analyses