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	0.0186	7.65***
αARCH	0.0830	10.30***
βGARCH	0.9094	111.42***
γleverage	0.2461	4.06***
δpower	1.5349	8.88***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0186	7.65***
α ARCH Response to squared shocks	0.0830	10.30***
β GARCH Volatility persistence	0.9094	111.42***
γ leverage Additional response to negative shocks	0.2461	4.06***
δ power Transformation power	1.5349	8.88***

V-Lab

Dow Jones Utilities Average APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Utilities Average Analyses