CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{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	1.0499	7.96***
αARCH	0.0814	6.49***
βGARCH	0.8695	41.07***

γ₁	0.0179	1.64
γ₂	-0.0496	-2.94***
γ₃	0.0558	4.82***
γ₄	-0.0245	-2.51**
γ₅	-0.0041	-0.62

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0499	7.96***
α ARCH Response to squared shocks	0.0814	6.49***
β GARCH Volatility persistence	0.8695	41.07***

γ₁	0.0179	1.64
γ₂	-0.0496	-2.94***
γ₃	0.0558	4.82***
γ₄	-0.0245	-2.51**
γ₅	-0.0041	-0.62

V-Lab

Altria Group Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Altria Group Inc Analyses