CBOE Volatility Index

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CBOE DJIA Volatility Index

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How volatility evolves over time

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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
mwindow	76
αARCH	0.1092	2.71***
βGARCH	0.3644	1.64
γleverage	-0.0547	-1.30
λ₁tau intercept	0.2810	1.04
λ₂forecast adj.	0.0794	1.39
λ₃tau persistence	0.8757	8.81***

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.1092	2.71***
β GARCH Volatility persistence	0.3644	1.64
γ leverage Additional response to negative shocks	-0.0547	-1.30
λ₁ tau intercept Baseline long-term coefficient	0.2810	1.04
λ₂ forecast adj. Forecast performance sensitivity	0.0794	1.39
λ₃ tau persistence Long-term factor persistence	0.8757	8.81***

V-Lab

CBOT Oats MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOT Oats Analyses