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
mwindow	71
αARCH	0.0334	3.71***
βGARCH	0.8668	55.40***
γleverage	0.0979	6.59***
λ₁tau intercept	0.0014	1.23
λ₂forecast adj.	0.0113	2.79***
λ₃tau persistence	0.9880	229.70***

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0334	3.71***
β GARCH Volatility persistence	0.8668	55.40***
γ leverage Additional response to negative shocks	0.0979	6.59***
λ₁ tau intercept Baseline long-term coefficient	0.0014	1.23
λ₂ forecast adj. Forecast performance sensitivity	0.0113	2.79***
λ₃ tau persistence Long-term factor persistence	0.9880	229.70***

V-Lab

Johnson & Johnson MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Johnson & Johnson Analyses