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

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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	76
αARCH	0.0177	0.60
βGARCH	0.3048	1.54
γleverage	0.5000	2.78***
λ₁tau intercept	7.8812	1.51
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0177	0.60
β GARCH Volatility persistence	0.3048	1.54
γ leverage Additional response to negative shocks	0.5000	2.78***
λ₁ tau intercept Baseline long-term coefficient	7.8812	1.51
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

CBOE Realized Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Realized Volatility Index Analyses