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

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	26
αARCH	0.0567	0.57
βGARCH	0.7299	9.91***
γleverage	0.0951	0.85
λ₁tau intercept	0.0673	1.15
λ₂forecast adj.	0.3891	0.84
λ₃tau persistence	0.4916	0.93

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0567	0.57
β GARCH Volatility persistence	0.7299	9.91***
γ leverage Additional response to negative shocks	0.0951	0.85
λ₁ tau intercept Baseline long-term coefficient	0.0673	1.15
λ₂ forecast adj. Forecast performance sensitivity	0.3891	0.84
λ₃ tau persistence Long-term factor persistence	0.4916	0.93

V-Lab

PMV Adaptive Risk Parity ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PMV Adaptive Risk Parity ETF Analyses