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	1.1172	8.56***
αARCH	0.0994	5.38***
βGARCH	0.7412	15.16***

γ₁	-0.1885	-2.22**
γ₂	0.4273	3.24***
γ₃	-0.4815	-5.91***
γ₄	0.4353	7.17***
γ₅	-0.2854	-4.31***
γ₆	0.1016	1.25
γ₇	0.0062	0.07
γ₈	-0.0169	-0.17
γ₉	0.0614	0.58

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1172	8.56***
α ARCH Response to squared shocks	0.0994	5.38***
β GARCH Volatility persistence	0.7412	15.16***

γ₁	-0.1885	-2.22**
γ₂	0.4273	3.24***
γ₃	-0.4815	-5.91***
γ₄	0.4353	7.17***
γ₅	-0.2854	-4.31***
γ₆	0.1016	1.25
γ₇	0.0062	0.07
γ₈	-0.0169	-0.17
γ₉	0.0614	0.58

V-Lab

Mondelez International Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mondelez International Inc Analyses