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

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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	1.2483	11.35***
αARCH	0.0883	7.78***
βGARCH	0.8566	49.51***

γ₁	0.0090	1.39
γ₂	-0.0314	-2.99***
γ₃	0.0462	5.25***
γ₄	-0.0267	-3.21***
γ₅	-0.0005	-0.04

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2483	11.35***
α ARCH Response to squared shocks	0.0883	7.78***
β GARCH Volatility persistence	0.8566	49.51***

γ₁	0.0090	1.39
γ₂	-0.0314	-2.99***
γ₃	0.0462	5.25***
γ₄	-0.0267	-3.21***
γ₅	-0.0005	-0.04

V-Lab

Johnson & Johnson Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Johnson & Johnson Analyses