CBOE 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
ωconst	0.0229	2.49**
αARCH	0.0618	2.49**
βGARCH	0.9433	72.42***
γleverage	-0.0217	-0.73

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0229	2.49**
α ARCH Response to squared shocks	0.0618	2.49**
β GARCH Volatility persistence	0.9433	72.42***
γ leverage Additional response to negative shocks	-0.0217	-0.73

V-Lab

NYMEX Platinum GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NYMEX Platinum Analyses