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

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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	0.9530	9.93***
αARCH	0.0545	5.47***
βGARCH	0.8916	48.69***

γ₁	-0.0186	-0.91
γ₂	0.0618	1.85*
γ₃	-0.1224	-4.44***
γ₄	0.1392	4.88***
γ₅	-0.0968	-3.51***
γ₆	0.0886	2.69***
γ₇	-0.0766	-1.78*
γ₈	0.0823	1.57

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9530	9.93***
α ARCH Response to squared shocks	0.0545	5.47***
β GARCH Volatility persistence	0.8916	48.69***

γ₁	-0.0186	-0.91
γ₂	0.0618	1.85*
γ₃	-0.1224	-4.44***
γ₄	0.1392	4.88***
γ₅	-0.0968	-3.51***
γ₆	0.0886	2.69***
γ₇	-0.0766	-1.78*
γ₈	0.0823	1.57

V-Lab

Intel Corp Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Intel Corp Analyses