CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	26
αARCH	0.5408	0.90
βGARCH	0.5053	7.95***
γleverage	-0.5000	-0.83
λ₁tau intercept	10.0000	0.73
λ₂forecast adj.	0.5391	2.23**
λ₃tau persistence	0.4609	2.67***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.5408	0.90
β GARCH Volatility persistence	0.5053	7.95***
γ leverage Additional response to negative shocks	-0.5000	-0.83
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.73
λ₂ forecast adj. Forecast performance sensitivity	0.5391	2.23**
λ₃ tau persistence Long-term factor persistence	0.4609	2.67***

V-Lab

Cheetah NET Suply CN SER Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Cheetah NET Suply CN SER Inc Analyses