CBOE Volatility Index

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CBOE DJIA Volatility Index

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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	1.0000	2.13**
αARCH	0.3105	6.51***
βGARCH	0.5603	7.76***
γleverage	-0.0086	-0.09
δpower	0.8457	3.73***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	2.13**
α ARCH Response to squared shocks	0.3105	6.51***
β GARCH Volatility persistence	0.5603	7.76***
γ leverage Additional response to negative shocks	-0.0086	-0.09
δ power Transformation power	0.8457	3.73***

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Niki BioSolutions Inc Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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