CBOE Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	0.8438	0.58
αARCH	0.4774	2.81***
βGARCH	0.5028	4.14***

γ₁	0.8712	2.15**
γ₂	-2.0082	-2.89***
γ₃	2.1267	3.40***
γ₄	-1.6263	-3.05***
γ₅	1.3302	3.28***
γ₆	-1.5023	-3.95***
γ₇	1.5067	3.54***
γ₈	-1.0802	-1.73*
γ₉	0.4136	0.71

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8438	0.58
α ARCH Response to squared shocks	0.4774	2.81***
β GARCH Volatility persistence	0.5028	4.14***

γ₁	0.8712	2.15**
γ₂	-2.0082	-2.89***
γ₃	2.1267	3.40***
γ₄	-1.6263	-3.05***
γ₅	1.3302	3.28***
γ₆	-1.5023	-3.95***
γ₇	1.5067	3.54***
γ₈	-1.0802	-1.73*
γ₉	0.4136	0.71

V-Lab

QVC Group Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other QVC Group Inc Analyses