CBOE IBM Volatility Index

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{name} Model Equation

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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	0.0351	6.36***
αARCH	0.2127	21.27***
βGARCH	0.7756	72.30***
γleverage	0.1290	6.94***
δpower	0.5952	4.04***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0351	6.36***
α ARCH Response to squared shocks	0.2127	21.27***
β GARCH Volatility persistence	0.7756	72.30***
γ leverage Additional response to negative shocks	0.1290	6.94***
δ power Transformation power	0.5952	4.04***

V-Lab

International Business Machines Corp Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other International Business Machines Corp Analyses