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

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	1.3644	9.84***
αARCH	0.0912	1.67*
βGARCH	0.0950	0.45

γ₁	0.8906	2.79***
γ₂	-1.2354	-2.36**
γ₃	0.8924	2.07**
γ₄	-1.4610	-3.08***
γ₅	2.8268	3.52***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3644	9.84***
α ARCH Response to squared shocks	0.0912	1.67*
β GARCH Volatility persistence	0.0950	0.45

γ₁	0.8906	2.79***
γ₂	-1.2354	-2.36**
γ₃	0.8924	2.07**
γ₄	-1.4610	-3.08***
γ₅	2.8268	3.52***

V-Lab

Onterris Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Onterris Inc Analyses