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	0.1833	1.32
αARCH	0.0870	1.57
βGARCH	0.7437	4.47***
γleverage	-0.0236	-0.10
δpower	2.0969	2.16**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1833	1.32
α ARCH Response to squared shocks	0.0870	1.57
β GARCH Volatility persistence	0.7437	4.47***
γ leverage Additional response to negative shocks	-0.0236	-0.10
δ power Transformation power	2.0969	2.16**

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Date Range:

News Impact Curve

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