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	0.2609	2.12**
αARCH	0.0570	3.11***
βGARCH	0.9117	51.62***
γleverage	-0.1385	-1.70*
δpower	1.8169	5.18***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2609	2.12**
α ARCH Response to squared shocks	0.0570	3.11***
β GARCH Volatility persistence	0.9117	51.62***
γ leverage Additional response to negative shocks	-0.1385	-1.70*
δ power Transformation power	1.8169	5.18***

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Camtek Ltd APARCH Volatility Analysis

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