CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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	0.1381	0.45
αARCH	-0.0773	-1.60
βGARCH	0.9488	13.14***
γleverage	-0.1453	-2.80***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1381	0.45
α ARCH Response to squared shocks	-0.0773	-1.60
β GARCH Volatility persistence	0.9488	13.14***
γ leverage Additional response to negative shocks	-0.1453	-2.80***

V-Lab

Ibotta Inc EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ibotta Inc Analyses