CBOE Volatility Index

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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	0.9103	7.08***
αARCH	0.0820	7.71***
βGARCH	0.8766	54.68***

γ₁	-0.0319	-0.97
γ₂	0.1160	2.12**
γ₃	-0.1777	-4.20***
γ₄	0.1547	5.10***
γ₅	-0.1017	-3.24***
γ₆	0.0491	1.44
γ₇	0.0187	0.51
γ₈	-0.0456	-1.21
γ₉	0.0188	0.69

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9103	7.08***
α ARCH Response to squared shocks	0.0820	7.71***
β GARCH Volatility persistence	0.8766	54.68***

γ₁	-0.0319	-0.97
γ₂	0.1160	2.12**
γ₃	-0.1777	-4.20***
γ₄	0.1547	5.10***
γ₅	-0.1017	-3.24***
γ₆	0.0491	1.44
γ₇	0.0187	0.51
γ₈	-0.0456	-1.21
γ₉	0.0188	0.69

V-Lab

Dow Jones Transportation Average Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Transportation Average Analyses