CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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	0.9413	7.44***
αARCH	0.0720	9.07***
βGARCH	0.8851	70.62***

γ₁	0.0334	1.44
γ₂	-0.0168	-0.49
γ₃	-0.0958	-3.86***
γ₄	0.1436	6.35***
γ₅	-0.0918	-4.47***
γ₆	0.0634	2.57**
γ₇	-0.0521	-1.40
γ₈	-0.0119	-0.15

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9413	7.44***
α ARCH Response to squared shocks	0.0720	9.07***
β GARCH Volatility persistence	0.8851	70.62***

γ₁	0.0334	1.44
γ₂	-0.0168	-0.49
γ₃	-0.0958	-3.86***
γ₄	0.1436	6.35***
γ₅	-0.0918	-4.47***
γ₆	0.0634	2.57**
γ₇	-0.0521	-1.40
γ₈	-0.0119	-0.15

V-Lab

AT&T Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other AT&T Inc Analyses