CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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

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
mwindow	76
αARCH	0.1558	2.93***
βGARCH	0.6562	4.78***
γleverage	-0.0776	-0.95
λ₁tau intercept	0.2571	0.50
λ₂forecast adj.	0.0223	0.93
λ₃tau persistence	0.9777	36.93***

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.1558	2.93***
β GARCH Volatility persistence	0.6562	4.78***
γ leverage Additional response to negative shocks	-0.0776	-0.95
λ₁ tau intercept Baseline long-term coefficient	0.2571	0.50
λ₂ forecast adj. Forecast performance sensitivity	0.0223	0.93
λ₃ tau persistence Long-term factor persistence	0.9777	36.93***

V-Lab

Alpha Compute Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Alpha Compute Corp Analyses