CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month Volatility Index

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How volatility evolves over time

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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	0.0343	2.53**
αARCH	0.1713	12.72***
βGARCH	0.8184	77.07***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0343	2.53**
α ARCH Response to squared shocks	0.1713	12.72***
β GARCH Volatility persistence	0.8184	77.07***

V-Lab

Wal-Mart Stores Inc MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Wal-Mart Stores Inc Analyses