CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	1.1271	8.48***
αARCH	0.0991	5.37***
βGARCH	0.7458	15.49***

γ₁	-0.1737	-2.04**
γ₂	0.4003	3.02***
γ₃	-0.4595	-5.62***
γ₄	0.4196	6.88***
γ₅	-0.2777	-4.19***
γ₆	0.1024	1.27
γ₇	-0.0058	-0.06
γ₈	0.0195	0.23
γ₉	-0.0481	-0.86

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1271	8.48***
α ARCH Response to squared shocks	0.0991	5.37***
β GARCH Volatility persistence	0.7458	15.49***

γ₁	-0.1737	-2.04**
γ₂	0.4003	3.02***
γ₃	-0.4595	-5.62***
γ₄	0.4196	6.88***
γ₅	-0.2777	-4.19***
γ₆	0.1024	1.27
γ₇	-0.0058	-0.06
γ₈	0.0195	0.23
γ₉	-0.0481	-0.86

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