CBOE Volatility Index

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CBOE DJIA 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	0.4077	1.88*
αARCH	0.2480	11.15***
βGARCH	0.6853	22.57***
γleverage	-0.0059	-0.17
δpower	0.9746	2.95***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4077	1.88*
α ARCH Response to squared shocks	0.2480	11.15***
β GARCH Volatility persistence	0.6853	22.57***
γ leverage Additional response to negative shocks	-0.0059	-0.17
δ power Transformation power	0.9746	2.95***

V-Lab

MacroGenics Inc Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MacroGenics Inc Analyses