CBOE 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	2.8477	1.09
αARCH	0.0535	12.95***
βGARCH	0.9953	229.80***
νDF	5.1853	3.46***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.8477	1.09
α ARCH Response to squared shocks	0.0535	12.95***
β GARCH Volatility persistence	0.9953	229.80***
ν DF Student-t tail thickness	5.1853	3.46***

V-Lab

Wal-Mart Stores Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Wal-Mart Stores Inc Analyses