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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2259	8.65***
α ARCH Response to squared shocks	0.0503	5.35***
β GARCH Volatility persistence	0.9155	53.21***

γ₁	0.0276	0.98
γ₂	0.0059	0.13
γ₃	-0.1318	-3.75***
γ₄	0.1860	5.68***
γ₅	-0.1519	-4.07***
γ₆	0.1404	3.10***
γ₇	-0.1222	-2.30**
γ₈	0.0536	0.95
γ₉	0.0471	0.52

V-Lab

Wal-Mart Stores Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Wal-Mart Stores Inc Analyses