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	2.5499	10.75***
αARCH	0.0769	184.36***
βGARCH	0.9951	4,649.82***
νDF	2.0000

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.5499	10.75***
α ARCH Response to squared shocks	0.0769	184.36***
β GARCH Volatility persistence	0.9951	4,649.82***
ν DF Student-t tail thickness	2.0000

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Date Range:

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