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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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	61
αARCH	0.0857	2.11**
βGARCH	0.6226	9.68***
γleverage	0.1073	1.61
λ₁tau intercept	0.0366	0.67
λ₂forecast adj.	0.0075	1.35
λ₃tau persistence	0.9872	79.91***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0857	2.11**
β GARCH Volatility persistence	0.6226	9.68***
γ leverage Additional response to negative shocks	0.1073	1.61
λ₁ tau intercept Baseline long-term coefficient	0.0366	0.67
λ₂ forecast adj. Forecast performance sensitivity	0.0075	1.35
λ₃ tau persistence Long-term factor persistence	0.9872	79.91***

V-Lab

Huron Consulting Group Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Huron Consulting Group Inc Analyses