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
ωlong-run	2.5729	1.00
αscore	0.0682	10.92***
βpersistence	0.9946	184.08***
νDF	6.2633	2.34**

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	2.5729	1.00
α score Weight on the scaled score	0.0682	10.92***
β persistence Volatility persistence	0.9946	184.08***
ν DF Student-t tail thickness	6.2633	2.34**

V-Lab

PepsiCo Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PepsiCo Inc Analyses