CBOE Volatility Index

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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	0.7560	3.33***
αARCH	0.0598	8.16***
βGARCH	0.9078	84.07***

γ₁	-0.0049	-0.07
γ₂	0.0450	0.44
γ₃	-0.0697	-1.23
γ₄	-0.0003	-0.01
γ₅	0.1078	2.43**
γ₆	-0.1884	-4.18***
γ₇	0.2354	4.26***
γ₈	-0.2343	-3.53***
γ₉	0.1727	2.82***
γ₁₀	-0.0809	-2.00**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7560	3.33***
α ARCH Response to squared shocks	0.0598	8.16***
β GARCH Volatility persistence	0.9078	84.07***

γ₁	-0.0049	-0.07
γ₂	0.0450	0.44
γ₃	-0.0697	-1.23
γ₄	-0.0003	-0.01
γ₅	0.1078	2.43**
γ₆	-0.1884	-4.18***
γ₇	0.2354	4.26***
γ₈	-0.2343	-3.53***
γ₉	0.1727	2.82***
γ₁₀	-0.0809	-2.00**

V-Lab

Howmet Aerospace Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Howmet Aerospace Inc Analyses