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

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	1.0000	0.88
αARCH	0.1080	1.69*
βGARCH	0.7526	6.27***
γleverage	0.4972	2.39**
δpower	1.2848	2.30**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	0.88
α ARCH Response to squared shocks	0.1080	1.69*
β GARCH Volatility persistence	0.7526	6.27***
γ leverage Additional response to negative shocks	0.4972	2.39**
δ power Transformation power	1.2848	2.30**

V-Lab

Victoria's Secret & Co APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Victoria's Secret & Co Analyses