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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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
mwindow	66
αARCH	0.0220	2.29**
βGARCH	0.8154	25.14***
γleverage	0.0873	4.09***
λ₁tau intercept	0.0308	1.40
λ₂forecast adj.	0.0672	1.88*
λ₃tau persistence	0.9200	21.16***

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0220	2.29**
β GARCH Volatility persistence	0.8154	25.14***
γ leverage Additional response to negative shocks	0.0873	4.09***
λ₁ tau intercept Baseline long-term coefficient	0.0308	1.40
λ₂ forecast adj. Forecast performance sensitivity	0.0672	1.88*
λ₃ tau persistence Long-term factor persistence	0.9200	21.16***

V-Lab

Wal-Mart Stores Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Wal-Mart Stores Inc Analyses