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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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	6.2956	0.86
αARCH	0.0613	5.55***
βGARCH	0.9801	41.18***
νDF	3.4023	2.62***

Parameter	Value	t-statistic
ω const Unconditional variance weight	6.2956	0.86
α ARCH Response to squared shocks	0.0613	5.55***
β GARCH Volatility persistence	0.9801	41.18***
ν DF Student-t tail thickness	3.4023	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