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	0.9140	7.69***
αARCH	0.0669	8.07***
βGARCH	0.9176	107.86***

γ₁	-0.0063	-2.26**
γ₂	0.0086	2.42**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9140	7.69***
α ARCH Response to squared shocks	0.0669	8.07***
β GARCH Volatility persistence	0.9176	107.86***

γ₁	-0.0063	-2.26**
γ₂	0.0086	2.42**

V-Lab

CBOT Soybeans Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOT Soybeans Analyses