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	0.8698	6.82***
αARCH	0.0820	7.72***
βGARCH	0.8762	54.59***

γ₁	-0.0483	-1.49
γ₂	0.1434	2.67***
γ₃	-0.1979	-4.78***
γ₄	0.1721	5.76***
γ₅	-0.1164	-3.68***
γ₆	0.0586	1.71*
γ₇	0.0157	0.42
γ₈	-0.0478	-1.19
γ₉	0.0274	0.56

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8698	6.82***
α ARCH Response to squared shocks	0.0820	7.72***
β GARCH Volatility persistence	0.8762	54.59***

γ₁	-0.0483	-1.49
γ₂	0.1434	2.67***
γ₃	-0.1979	-4.78***
γ₄	0.1721	5.76***
γ₅	-0.1164	-3.68***
γ₆	0.0586	1.71*
γ₇	0.0157	0.42
γ₈	-0.0478	-1.19
γ₉	0.0274	0.56

V-Lab

Dow Jones Transportation Average Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Transportation Average Analyses