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

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	2.3444	2.89***
αARCH	0.1306	5.76***
βGARCH	0.8049	28.82***

γ₁	0.5895	0.96
γ₂	-0.2951	-0.32
γ₃	-0.4496	-0.62
γ₄	0.8595	1.25
γ₅	-2.0484	-2.47**
γ₆	2.6545	3.05***
γ₇	-1.9348	-2.77***
γ₈	0.4082	0.60
γ₉	0.4944	1.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3444	2.89***
α ARCH Response to squared shocks	0.1306	5.76***
β GARCH Volatility persistence	0.8049	28.82***

γ₁	0.5895	0.96
γ₂	-0.2951	-0.32
γ₃	-0.4496	-0.62
γ₄	0.8595	1.25
γ₅	-2.0484	-2.47**
γ₆	2.6545	3.05***
γ₇	-1.9348	-2.77***
γ₈	0.4082	0.60
γ₉	0.4944	1.00

V-Lab

MVB Financial Corp. Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MVB Financial Corp. Analyses