CBOE 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
ωlong-run	3.4407	2.16**
αscore	0.0822	8.56***
βpersistence	0.9862	149.37***
νDF	8.7280	1.17

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	3.4407	2.16**
α score Weight on the scaled score	0.0822	8.56***
β persistence Volatility persistence	0.9862	149.37***
ν DF Student-t tail thickness	8.7280	1.17

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Date Range:

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