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

How returns affect tomorrow's illiquidity

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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	3.8527	5.55***
αARCH	0.2332	5.71***
βGARCH	0.6727	20.54***
γleverage	0.0144	0.17

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.8527	5.55***
α ARCH Response to squared shocks	0.2332	5.71***
β GARCH Volatility persistence	0.6727	20.54***
γ leverage Additional response to negative shocks	0.0144	0.17

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Date Range:

News Impact Curve

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