CBOE Volatility Index

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CBOE DJIA 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
mwindow	111
αARCH	0.0000	0.00
βGARCH	0.9453	56.81***
γleverage	0.0487	3.53***
λ₁tau intercept	6.1432	0.03
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	111
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9453	56.81***
γ leverage Additional response to negative shocks	0.0487	3.53***
λ₁ tau intercept Baseline long-term coefficient	6.1432	0.03
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Huron Consulting Group Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Huron Consulting Group Inc Analyses