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

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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	5.5569	0.95
αARCH	0.0634	8.52***
βGARCH	0.9918	115.52***
νDF	4.8831	2.47**

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.5569	0.95
α ARCH Response to squared shocks	0.0634	8.52***
β GARCH Volatility persistence	0.9918	115.52***
ν DF Student-t tail thickness	4.8831	2.47**

V-Lab

Interactive Brokers Group Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Interactive Brokers Group Inc Analyses