CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	1.2401	7.79***
αARCH	0.1075	10.18***
βGARCH	0.8588	69.82***

γ₁	0.0841	6.29***
γ₂	-0.1325	-6.12***
γ₃	0.0746	4.77***
γ₄	-0.0501	-3.68***
γ₅	0.0539	3.25***
γ₆	-0.0603	-2.38**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2401	7.79***
α ARCH Response to squared shocks	0.1075	10.18***
β GARCH Volatility persistence	0.8588	69.82***

γ₁	0.0841	6.29***
γ₂	-0.1325	-6.12***
γ₃	0.0746	4.77***
γ₄	-0.0501	-3.68***
γ₅	0.0539	3.25***
γ₆	-0.0603	-2.38**

V-Lab

Wilshire 5000 Total Market Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Wilshire 5000 Total Market Index Analyses