CBOE 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	1.1154	7.51***
αARCH	0.0851	8.38***
βGARCH	0.8398	46.29***

γ₁	0.0131	0.45
γ₂	0.0270	0.63
γ₃	-0.1478	-4.62***
γ₄	0.2000	6.53***
γ₅	-0.1342	-4.01***
γ₆	0.0584	1.62
γ₇	-0.0044	-0.14
γ₈	-0.0226	-0.80
γ₉	0.0088	0.43

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1154	7.51***
α ARCH Response to squared shocks	0.0851	8.38***
β GARCH Volatility persistence	0.8398	46.29***

γ₁	0.0131	0.45
γ₂	0.0270	0.63
γ₃	-0.1478	-4.62***
γ₄	0.2000	6.53***
γ₅	-0.1342	-4.01***
γ₆	0.0584	1.62
γ₇	-0.0044	-0.14
γ₈	-0.0226	-0.80
γ₉	0.0088	0.43

V-Lab

Procter & Gamble Co/The Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Procter & Gamble Co/The Analyses