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

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	0.0344	5.86***
αARCH	0.0734	6.70***
βGARCH	0.9141	89.69***
γleverage	0.3633	3.51***
δpower	1.5683	10.29***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0344	5.86***
α ARCH Response to squared shocks	0.0734	6.70***
β GARCH Volatility persistence	0.9141	89.69***
γ leverage Additional response to negative shocks	0.3633	3.51***
δ power Transformation power	1.5683	10.29***

V-Lab

Dow Jones Transportation Average APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Transportation Average Analyses