CBOE Volatility Index

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CBOE DJIA 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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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	0.7247	1.41
αARCH	0.0599	0.44
βGARCH	0.8708	28.72***
γleverage	-1.0000	-0.28
δpower	1.1868	3.67***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7247	1.41
α ARCH Response to squared shocks	0.0599	0.44
β GARCH Volatility persistence	0.8708	28.72***
γ leverage Additional response to negative shocks	-1.0000	-0.28
δ power Transformation power	1.1868	3.67***

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CDX/CBOE NA High Yield 1-Month Volatility Index (BP Volatility) APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CDX/CBOE NA High Yield 1-Month Volatility Index (BP Volatility) Analyses