CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{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	1.0452	7.14***
αARCH	0.0848	8.34***
βGARCH	0.8385	45.57***

γ₁	-0.0051	-0.18
γ₂	0.0551	1.28
γ₃	-0.1660	-5.28***
γ₄	0.2166	7.21***
γ₅	-0.1489	-4.59***
γ₆	0.0683	1.94*
γ₇	-0.0063	-0.20
γ₈	-0.0329	-1.04
γ₉	0.0455	1.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0452	7.14***
α ARCH Response to squared shocks	0.0848	8.34***
β GARCH Volatility persistence	0.8385	45.57***

γ₁	-0.0051	-0.18
γ₂	0.0551	1.28
γ₃	-0.1660	-5.28***
γ₄	0.2166	7.21***
γ₅	-0.1489	-4.59***
γ₆	0.0683	1.94*
γ₇	-0.0063	-0.20
γ₈	-0.0329	-1.04
γ₉	0.0455	1.01

V-Lab

Procter & Gamble Co/The Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Procter & Gamble Co/The Analyses