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

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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	1.9435	4.08***
αARCH	0.3002	1.99**
βGARCH	0.1415	0.64

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9435	4.08***
α ARCH Response to squared shocks	0.3002	1.99**
β GARCH Volatility persistence	0.1415	0.64

V-Lab

VenHub Global Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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