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	0.9066	2.19**
αARCH	0.4742	5.40***
βGARCH	0.3004	3.13***

γ₁	-1.8484	-3.44***
γ₂	2.6379	3.30***
γ₃	-1.5407	-2.14**
γ₄	1.2118	1.85*
γ₅	-0.5121	-1.06
γ₆	0.2658	0.68
γ₇	-0.3286	-0.81
γ₈	0.1077	0.30

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9066	2.19**
α ARCH Response to squared shocks	0.4742	5.40***
β GARCH Volatility persistence	0.3004	3.13***

γ₁	-1.8484	-3.44***
γ₂	2.6379	3.30***
γ₃	-1.5407	-2.14**
γ₄	1.2118	1.85*
γ₅	-0.5121	-1.06
γ₆	0.2658	0.68
γ₇	-0.3286	-0.81
γ₈	0.1077	0.30

V-Lab

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Date Range:

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