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	0.0182	2.35**
αARCH	0.1194	6.75***
βGARCH	0.9867	242.44***
γleverage	-0.0324	-2.40**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0182	2.35**
α ARCH Response to squared shocks	0.1194	6.75***
β GARCH Volatility persistence	0.9867	242.44***
γ leverage Additional response to negative shocks	-0.0324	-2.40**

V-Lab

Wal-Mart Stores Inc EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Wal-Mart Stores Inc Analyses