CBOE Volatility Index

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{name} Model Equation

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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	1.1578	8.71***
αARCH	0.0993	5.38***
βGARCH	0.7471	15.65***

γ₁	-0.1616	-1.91*
γ₂	0.3827	2.91***
γ₃	-0.4502	-5.51***
γ₄	0.4146	6.78***
γ₅	-0.2779	-4.23***
γ₆	0.1058	1.32
γ₇	-0.0087	-0.10
γ₈	0.0195	0.23
γ₉	-0.0464	-0.82

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1578	8.71***
α ARCH Response to squared shocks	0.0993	5.38***
β GARCH Volatility persistence	0.7471	15.65***

γ₁	-0.1616	-1.91*
γ₂	0.3827	2.91***
γ₃	-0.4502	-5.51***
γ₄	0.4146	6.78***
γ₅	-0.2779	-4.23***
γ₆	0.1058	1.32
γ₇	-0.0087	-0.10
γ₈	0.0195	0.23
γ₉	-0.0464	-0.82

V-Lab

Mondelez International Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mondelez International Inc Analyses