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

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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	0.9027	10.34***
αARCH	0.0696	5.90***
βGARCH	0.8446	26.65***

γ₁	-0.0020	-0.08
γ₂	0.0226	0.55
γ₃	-0.0596	-1.38
γ₄	0.0698	1.11
γ₅	-0.0814	-1.24
γ₆	0.1037	2.04**
γ₇	-0.0767	-1.70*
γ₈	0.0533	1.22
γ₉	-0.0516	-1.71*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9027	10.34***
α ARCH Response to squared shocks	0.0696	5.90***
β GARCH Volatility persistence	0.8446	26.65***

γ₁	-0.0020	-0.08
γ₂	0.0226	0.55
γ₃	-0.0596	-1.38
γ₄	0.0698	1.11
γ₅	-0.0814	-1.24
γ₆	0.1037	2.04**
γ₇	-0.0767	-1.70*
γ₈	0.0533	1.22
γ₉	-0.0516	-1.71*

V-Lab

Merck & Co Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Merck & Co Inc Analyses