CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day 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	36
αARCH	0.2672	4.18***
βGARCH	0.5855	4.83***
γleverage	-0.0987	-0.95
λ₁tau intercept	4.1167	0.36
λ₂forecast adj.	0.0034	0.10
λ₃tau persistence	0.9209	4.16***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.2672	4.18***
β GARCH Volatility persistence	0.5855	4.83***
γ leverage Additional response to negative shocks	-0.0987	-0.95
λ₁ tau intercept Baseline long-term coefficient	4.1167	0.36
λ₂ forecast adj. Forecast performance sensitivity	0.0034	0.10
λ₃ tau persistence Long-term factor persistence	0.9209	4.16***

V-Lab

ATIF Holdings Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ATIF Holdings Ltd Analyses