CBOE Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	0.8403	3.02***
αARCH	0.1411	6.59***
βGARCH	0.6977	15.67***

γ₁	-0.8293	-2.82***
γ₂	1.1025	2.71***
γ₃	-0.2989	-1.16
γ₄	0.1833	0.78
γ₅	-0.3956	-1.97**
γ₆	0.5068	2.79***
γ₇	-0.4576	-2.93***
γ₈	0.1771	1.34
γ₉	0.2248	1.56
γ₁₀	-0.4712	-1.51

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8403	3.02***
α ARCH Response to squared shocks	0.1411	6.59***
β GARCH Volatility persistence	0.6977	15.67***

γ₁	-0.8293	-2.82***
γ₂	1.1025	2.71***
γ₃	-0.2989	-1.16
γ₄	0.1833	0.78
γ₅	-0.3956	-1.97**
γ₆	0.5068	2.79***
γ₇	-0.4576	-2.93***
γ₈	0.1771	1.34
γ₉	0.2248	1.56
γ₁₀	-0.4712	-1.51

V-Lab

Interactive Brokers Group Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Interactive Brokers Group Inc Analyses