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	0.0375	8.57***
αARCH	0.1950	12.77***
βGARCH	0.7876	53.43***
γleverage	0.2816	5.71***
δpower	1.0768	6.53***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0375	8.57***
α ARCH Response to squared shocks	0.1950	12.77***
β GARCH Volatility persistence	0.7876	53.43***
γ leverage Additional response to negative shocks	0.2816	5.71***
δ power Transformation power	1.0768	6.53***

V-Lab

Russell 1000 Growth Index Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Russell 1000 Growth Index Analyses