CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day 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	21
αARCH	0.0206	0.63
βGARCH	0.8860	27.11***
γleverage	0.1724	1.61
λ₁tau intercept	10.0000	0.50
λ₂forecast adj.	0.0303	0.55
λ₃tau persistence	0.9697	22.16***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0206	0.63
β GARCH Volatility persistence	0.8860	27.11***
γ leverage Additional response to negative shocks	0.1724	1.61
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.50
λ₂ forecast adj. Forecast performance sensitivity	0.0303	0.55
λ₃ tau persistence Long-term factor persistence	0.9697	22.16***

V-Lab

CID Holdco Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CID Holdco Inc Analyses