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	6.3068	0.85
αARCH	0.0607	5.54***
βGARCH	0.9803	41.36***
νDF	3.3932	2.62***

Parameter	Value	t-statistic
ω const Unconditional variance weight	6.3068	0.85
α ARCH Response to squared shocks	0.0607	5.54***
β GARCH Volatility persistence	0.9803	41.36***
ν DF Student-t tail thickness	3.3932	2.62***

V-Lab

Huron Consulting Group Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Huron Consulting Group Inc Analyses