CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{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	1.3425	7.44***
αARCH	0.0676	6.37***
βGARCH	0.8931	55.99***

γ₁	0.0229	0.81
γ₂	-0.0025	-0.06
γ₃	-0.0944	-3.45***
γ₄	0.1500	5.86***
γ₅	-0.1206	-4.31***
γ₆	0.0856	2.50**
γ₇	-0.0724	-1.68*
γ₈	0.0416	1.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3425	7.44***
α ARCH Response to squared shocks	0.0676	6.37***
β GARCH Volatility persistence	0.8931	55.99***

γ₁	0.0229	0.81
γ₂	-0.0025	-0.06
γ₃	-0.0944	-3.45***
γ₄	0.1500	5.86***
γ₅	-0.1206	-4.31***
γ₆	0.0856	2.50**
γ₇	-0.0724	-1.68*
γ₈	0.0416	1.22

V-Lab

Coca-Cola Co/The Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Coca-Cola Co/The Analyses