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	1.7035	4.75***
αARCH	0.1344	5.59***
βGARCH	0.7246	16.21***

γ₁	0.0359	0.53
γ₂	0.0105	0.10
γ₃	-0.1133	-1.38
γ₄	0.1081	1.42
γ₅	-0.1192	-1.59
γ₆	0.1933	2.43**
γ₇	-0.1589	-2.35**
γ₈	0.0561	0.92
γ₉	-0.0267	-0.53

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7035	4.75***
α ARCH Response to squared shocks	0.1344	5.59***
β GARCH Volatility persistence	0.7246	16.21***

γ₁	0.0359	0.53
γ₂	0.0105	0.10
γ₃	-0.1133	-1.38
γ₄	0.1081	1.42
γ₅	-0.1192	-1.59
γ₆	0.1933	2.43**
γ₇	-0.1589	-2.35**
γ₈	0.0561	0.92
γ₉	-0.0267	-0.53

V-Lab

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