CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{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	0.2205	3.72***
βGARCH	0.4391	6.57***
γleverage	-0.0411	-0.52
λ₁tau intercept	10.0000	1.75*
λ₂forecast adj.	0.4274	2.08**
λ₃tau persistence	0.5356	2.79***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.2205	3.72***
β GARCH Volatility persistence	0.4391	6.57***
γ leverage Additional response to negative shocks	-0.0411	-0.52
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.75*
λ₂ forecast adj. Forecast performance sensitivity	0.4274	2.08**
λ₃ tau persistence Long-term factor persistence	0.5356	2.79***

V-Lab

Big Digital Energy Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Big Digital Energy Inc Analyses