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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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	0.0186	4.01***
αARCH	0.0442	6.03***
βGARCH	0.9449	125.67***
γleverage	-0.0858	-1.85*
δpower	1.9233	7.55***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0186	4.01***
α ARCH Response to squared shocks	0.0442	6.03***
β GARCH Volatility persistence	0.9449	125.67***
γ leverage Additional response to negative shocks	-0.0858	-1.85*
δ power Transformation power	1.9233	7.55***

V-Lab

S&P GSCI Softs Spot Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Softs Spot Index Analyses