CBOE Volatility Index

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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

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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	1.3381	9.07***
αARCH	0.0518	6.55***
βGARCH	0.9175	72.86***

γ₁	0.0279	3.69***
γ₂	-0.0542	-4.48***
γ₃	0.0409	3.95***
γ₄	-0.0130	-1.27
γ₅	-0.0038	-0.52

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3381	9.07***
α ARCH Response to squared shocks	0.0518	6.55***
β GARCH Volatility persistence	0.9175	72.86***

γ₁	0.0279	3.69***
γ₂	-0.0542	-4.48***
γ₃	0.0409	3.95***
γ₄	-0.0130	-1.27
γ₅	-0.0038	-0.52

V-Lab

McDonald's Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other McDonald's Corp Analyses