CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	20.2153	1.67*
αARCH	0.0614	17.08***
βGARCH	0.9978	940.48***
νDF	3.7542	11.60***

Parameter	Value	t-statistic
ω const Unconditional variance weight	20.2153	1.67*
α ARCH Response to squared shocks	0.0614	17.08***
β GARCH Volatility persistence	0.9978	940.48***
ν DF Student-t tail thickness	3.7542	11.60***

V-Lab

Ulta Beauty Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ulta Beauty Inc Analyses