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	1.6525	3.08***
αARCH	0.3393	8.38***
βGARCH	0.5823	16.86***

γ₁	0.2541	3.26***
γ₂	-0.3846	-3.52***
γ₃	0.1907	2.80***
γ₄	-0.1623	-2.48**
γ₅	0.1820	3.01***
γ₆	-0.0125	-0.23
γ₇	-0.1193	-1.93*
γ₈	0.0349	0.72

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6525	3.08***
α ARCH Response to squared shocks	0.3393	8.38***
β GARCH Volatility persistence	0.5823	16.86***

γ₁	0.2541	3.26***
γ₂	-0.3846	-3.52***
γ₃	0.1907	2.80***
γ₄	-0.1623	-2.48**
γ₅	0.1820	3.01***
γ₆	-0.0125	-0.23
γ₇	-0.1193	-1.93*
γ₈	0.0349	0.72

V-Lab

Blom Stock Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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