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

How returns affect tomorrow's illiquidity

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	8.0654	1.19
αARCH	0.0657	12.23***
βGARCH	0.9957	287.02***
νDF	7.6177	1.66*

Parameter	Value	t-statistic
ω const Unconditional variance weight	8.0654	1.19
α ARCH Response to squared shocks	0.0657	12.23***
β GARCH Volatility persistence	0.9957	287.02***
ν DF Student-t tail thickness	7.6177	1.66*

V-Lab

NY Harbor ULSD Heating Oil GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NY Harbor ULSD Heating Oil Analyses