CBOE Volatility Index

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CBOE DJIA 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
mwindow	126
αARCH	0.0887	2.65***
βGARCH	0.8169	22.58***
γleverage	0.0446	0.91
λ₁tau intercept	0.3693	0.28
λ₂forecast adj.	0.0045	0.40
λ₃tau persistence	0.9868	22.77***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0887	2.65***
β GARCH Volatility persistence	0.8169	22.58***
γ leverage Additional response to negative shocks	0.0446	0.91
λ₁ tau intercept Baseline long-term coefficient	0.3693	0.28
λ₂ forecast adj. Forecast performance sensitivity	0.0045	0.40
λ₃ tau persistence Long-term factor persistence	0.9868	22.77***

V-Lab

Insight Molecular Diagnostics Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Insight Molecular Diagnostics Inc Analyses