CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day 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

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	0.0614	6.51***
αARCH	0.1963	14.43***
βGARCH	0.7624	42.90***
γleverage	0.1093	3.88***
δpower	0.5000	2.40**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0614	6.51***
α ARCH Response to squared shocks	0.1963	14.43***
β GARCH Volatility persistence	0.7624	42.90***
γ leverage Additional response to negative shocks	0.1093	3.88***
δ power Transformation power	0.5000	2.40**

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Mondelez International Inc Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mondelez International Inc Analyses