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	0.0353	6.38***
αARCH	0.2122	21.25***
βGARCH	0.7762	72.40***
γleverage	0.1298	6.97***
δpower	0.6043	4.10***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0353	6.38***
α ARCH Response to squared shocks	0.2122	21.25***
β GARCH Volatility persistence	0.7762	72.40***
γ leverage Additional response to negative shocks	0.1298	6.97***
δ power Transformation power	0.6043	4.10***

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International Business Machines Corp Asy. Power MEM Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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