CBOE Volatility Index

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CBOE DJIA Volatility Index

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How volatility evolves over time

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{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	5.0000	4.16***
αARCH	0.3601	4.98***
βGARCH	0.5401	9.48***
γleverage	0.1027	0.58

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	4.16***
α ARCH Response to squared shocks	0.3601	4.98***
β GARCH Volatility persistence	0.5401	9.48***
γ leverage Additional response to negative shocks	0.1027	0.58

V-Lab

Rocket One Inc Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Rocket One Inc Analyses