CBOE Volatility Index

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{name} Model Equation

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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	0.0263	6.86***
αARCH	0.0737	3.48***
βGARCH	0.9122	81.57***
γleverage	0.8697	2.23**
δpower	1.2625	10.45***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0263	6.86***
α ARCH Response to squared shocks	0.0737	3.48***
β GARCH Volatility persistence	0.9122	81.57***
γ leverage Additional response to negative shocks	0.8697	2.23**
δ power Transformation power	1.2625	10.45***

V-Lab

Russell 1000 Growth Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Russell 1000 Growth Index Analyses