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	1.2978	7.09***
αARCH	0.0678	6.46***
βGARCH	0.8892	54.91***

γ₁	-0.0043	-0.11
γ₂	0.0658	1.14
γ₃	-0.1665	-3.98***
γ₄	0.1636	3.32***
γ₅	-0.0493	-0.96
γ₆	-0.0409	-1.03
γ₇	0.0915	2.57**
γ₈	-0.1374	-2.63***
γ₉	0.1878	2.31**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2978	7.09***
α ARCH Response to squared shocks	0.0678	6.46***
β GARCH Volatility persistence	0.8892	54.91***

γ₁	-0.0043	-0.11
γ₂	0.0658	1.14
γ₃	-0.1665	-3.98***
γ₄	0.1636	3.32***
γ₅	-0.0493	-0.96
γ₆	-0.0409	-1.03
γ₇	0.0915	2.57**
γ₈	-0.1374	-2.63***
γ₉	0.1878	2.31**

V-Lab

Coca-Cola Co/The Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Coca-Cola Co/The Analyses