CBOE 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	0.9561	9.97***
αARCH	0.0547	5.47***
βGARCH	0.8908	48.25***

γ₁	-0.0191	-0.93
γ₂	0.0631	1.89*
γ₃	-0.1239	-4.49***
γ₄	0.1404	4.93***
γ₅	-0.0976	-3.53***
γ₆	0.0890	2.69***
γ₇	-0.0761	-1.77*
γ₈	0.0795	1.52

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9561	9.97***
α ARCH Response to squared shocks	0.0547	5.47***
β GARCH Volatility persistence	0.8908	48.25***

γ₁	-0.0191	-0.93
γ₂	0.0631	1.89*
γ₃	-0.1239	-4.49***
γ₄	0.1404	4.93***
γ₅	-0.0976	-3.53***
γ₆	0.0890	2.69***
γ₇	-0.0761	-1.77*
γ₈	0.0795	1.52

V-Lab

Intel Corp Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Intel Corp Analyses