CBOE Volatility Index

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
ωconst	1.6408	3.06***
αARCH	0.3387	8.37***
βGARCH	0.5830	16.85***

γ₁	0.2518	3.23***
γ₂	-0.3816	-3.50***
γ₃	0.1894	2.79***
γ₄	-0.1612	-2.47**
γ₅	0.1817	3.01***
γ₆	-0.0128	-0.23
γ₇	-0.1203	-1.95*
γ₈	0.0368	0.77

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6408	3.06***
α ARCH Response to squared shocks	0.3387	8.37***
β GARCH Volatility persistence	0.5830	16.85***

γ₁	0.2518	3.23***
γ₂	-0.3816	-3.50***
γ₃	0.1894	2.79***
γ₄	-0.1612	-2.47**
γ₅	0.1817	3.01***
γ₆	-0.0128	-0.23
γ₇	-0.1203	-1.95*
γ₈	0.0368	0.77

V-Lab

Blom Stock Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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