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	2.2283	5.04***
αARCH	0.1672	3.29***
βGARCH	0.5465	5.84***

γ₁	-0.0354	-0.36
γ₂	0.1396	0.95
γ₃	-0.1886	-1.71*
γ₄	0.2531	2.16**
γ₅	-0.3477	-2.86***
γ₆	0.2855	2.52**
γ₇	-0.1364	-1.90*

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2283	5.04***
α ARCH Response to squared shocks	0.1672	3.29***
β GARCH Volatility persistence	0.5465	5.84***

γ₁	-0.0354	-0.36
γ₂	0.1396	0.95
γ₃	-0.1886	-1.71*
γ₄	0.2531	2.16**
γ₅	-0.3477	-2.86***
γ₆	0.2855	2.52**
γ₇	-0.1364	-1.90*

V-Lab

Ulta Beauty Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ulta Beauty Inc Analyses