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

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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
mwindow	76
αARCH	0.0000	0.00
βGARCH	0.8551	72.24***
γleverage	0.1887	11.58***
λ₁tau intercept	0.0228	1.72*
λ₂forecast adj.	0.1105	3.46***
λ₃tau persistence	0.8655	20.44***

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8551	72.24***
γ leverage Additional response to negative shocks	0.1887	11.58***
λ₁ tau intercept Baseline long-term coefficient	0.0228	1.72*
λ₂ forecast adj. Forecast performance sensitivity	0.1105	3.46***
λ₃ tau persistence Long-term factor persistence	0.8655	20.44***

V-Lab

Russell 1000 Value Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Russell 1000 Value Index Analyses