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	0.1781	2.44**
αARCH	0.0000	0.00
βGARCH	0.9477	63.83***
γleverage	0.0476	3.10***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1781	2.44**
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9477	63.83***
γ leverage Additional response to negative shocks	0.0476	3.10***

V-Lab

Huron Consulting Group Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Huron Consulting Group Inc Analyses