CBOE Volatility Index

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{name} Model Equation

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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	0.9890	4.63***
αARCH	0.0902	6.08***
βGARCH	0.8339	28.81***

γ₁	0.0000	0.00
γ₂	0.0360	0.38
γ₃	-0.1119	-2.43**
γ₄	0.1048	2.47**
γ₅	-0.0262	-0.58
γ₆	0.0095	0.24
γ₇	0.0186	0.55
γ₈	-0.1011	-2.59***
γ₉	0.1788	2.52**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9890	4.63***
α ARCH Response to squared shocks	0.0902	6.08***
β GARCH Volatility persistence	0.8339	28.81***

γ₁	0.0000	0.00
γ₂	0.0360	0.38
γ₃	-0.1119	-2.43**
γ₄	0.1048	2.47**
γ₅	-0.0262	-0.58
γ₆	0.0095	0.24
γ₇	0.0186	0.55
γ₈	-0.1011	-2.59***
γ₉	0.1788	2.52**

V-Lab

Altria Group Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Altria Group Inc Analyses