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	0.1565	0.88
αARCH	0.0121	0.72
βGARCH	0.9639	86.45***
γleverage	-0.0569	-0.24
δpower	3.0000	3.09***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1565	0.88
α ARCH Response to squared shocks	0.0121	0.72
β GARCH Volatility persistence	0.9639	86.45***
γ leverage Additional response to negative shocks	-0.0569	-0.24
δ power Transformation power	3.0000	3.09***

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