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	0.1689	1.25
αARCH	0.0153	1.16
βGARCH	0.9616	85.72***
γleverage	-0.1777	-1.03
δpower	2.8564	4.04***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1689	1.25
α ARCH Response to squared shocks	0.0153	1.16
β GARCH Volatility persistence	0.9616	85.72***
γ leverage Additional response to negative shocks	-0.1777	-1.03
δ power Transformation power	2.8564	4.04***

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Date Range:

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