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	0.7502	3.32***
αARCH	0.0612	8.16***
βGARCH	0.9055	81.81***

γ₁	-0.0027	-0.04
γ₂	0.0412	0.40
γ₃	-0.0686	-1.22
γ₄	0.0019	0.04
γ₅	0.1049	2.38**
γ₆	-0.1866	-4.20***
γ₇	0.2341	4.30***
γ₈	-0.2331	-3.55***
γ₉	0.1727	2.83***
γ₁₀	-0.0818	-2.05**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7502	3.32***
α ARCH Response to squared shocks	0.0612	8.16***
β GARCH Volatility persistence	0.9055	81.81***

γ₁	-0.0027	-0.04
γ₂	0.0412	0.40
γ₃	-0.0686	-1.22
γ₄	0.0019	0.04
γ₅	0.1049	2.38**
γ₆	-0.1866	-4.20***
γ₇	0.2341	4.30***
γ₈	-0.2331	-3.55***
γ₉	0.1727	2.83***
γ₁₀	-0.0818	-2.05**

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