CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

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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	0.0395	4.92***
αARCH	0.1862	12.75***
βGARCH	0.8044	49.00***
γleverage	0.1100	4.12***
δpower	0.8104	4.19***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0395	4.92***
α ARCH Response to squared shocks	0.1862	12.75***
β GARCH Volatility persistence	0.8044	49.00***
γ leverage Additional response to negative shocks	0.1100	4.12***
δ power Transformation power	0.8104	4.19***

V-Lab

Altria Group Inc Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Altria Group Inc Analyses