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

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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	1.3406	7.44***
αARCH	0.0674	6.35***
βGARCH	0.8934	56.00***

γ₁	0.0226	0.80
γ₂	-0.0019	-0.04
γ₃	-0.0952	-3.47***
γ₄	0.1505	5.86***
γ₅	-0.1206	-4.28***
γ₆	0.0852	2.46**
γ₇	-0.0714	-1.64
γ₈	0.0405	1.17

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3406	7.44***
α ARCH Response to squared shocks	0.0674	6.35***
β GARCH Volatility persistence	0.8934	56.00***

γ₁	0.0226	0.80
γ₂	-0.0019	-0.04
γ₃	-0.0952	-3.47***
γ₄	0.1505	5.86***
γ₅	-0.1206	-4.28***
γ₆	0.0852	2.46**
γ₇	-0.0714	-1.64
γ₈	0.0405	1.17

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