CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day 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	15.5974	1.95*
αARCH	0.0574	0.61
βGARCH	0.7862	8.98***
νDF	5.3803	0.16

Parameter	Value	t-statistic
ω const Unconditional variance weight	15.5974	1.95*
α ARCH Response to squared shocks	0.0574	0.61
β GARCH Volatility persistence	0.7862	8.98***
ν DF Student-t tail thickness	5.3803	0.16

V-Lab

Victoria's Secret & Co GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Victoria's Secret & Co Analyses