CBOE Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	0.8282	2.95***
αARCH	0.1381	6.47***
βGARCH	0.7023	15.87***

γ₁	-0.8220	-2.76***
γ₂	1.0822	2.64***
γ₃	-0.2701	-1.05
γ₄	0.1512	0.64
γ₅	-0.3659	-1.83*
γ₆	0.4871	2.68***
γ₇	-0.4565	-2.90***
γ₈	0.2068	1.55
γ₉	0.1442	1.29
γ₁₀	-0.2765	-3.48***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8282	2.95***
α ARCH Response to squared shocks	0.1381	6.47***
β GARCH Volatility persistence	0.7023	15.87***

γ₁	-0.8220	-2.76***
γ₂	1.0822	2.64***
γ₃	-0.2701	-1.05
γ₄	0.1512	0.64
γ₅	-0.3659	-1.83*
γ₆	0.4871	2.68***
γ₇	-0.4565	-2.90***
γ₈	0.2068	1.55
γ₉	0.1442	1.29
γ₁₀	-0.2765	-3.48***

V-Lab

Interactive Brokers Group Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Interactive Brokers Group Inc Analyses