CBOE Volatility Index

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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	0.0459	7.19***
αARCH	0.2123	9.87***
βGARCH	0.7617	32.46***
γleverage	0.3584	5.50***
δpower	0.8412	4.80***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0459	7.19***
α ARCH Response to squared shocks	0.2123	9.87***
β GARCH Volatility persistence	0.7617	32.46***
γ leverage Additional response to negative shocks	0.3584	5.50***
δ power Transformation power	0.8412	4.80***

V-Lab

Wilshire 5000 Total Market Index Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Wilshire 5000 Total Market Index Analyses