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

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	3.6684	1.91*
αARCH	0.0037	0.30
βGARCH	0.6804	5.14***
γleverage	0.2339	0.94

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.6684	1.91*
α ARCH Response to squared shocks	0.0037	0.30
β GARCH Volatility persistence	0.6804	5.14***
γ leverage Additional response to negative shocks	0.2339	0.94

V-Lab

Victoria's Secret & Co GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Victoria's Secret & Co Analyses