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	126
αARCH	0.0106	0.85
βGARCH	0.9315	79.63***
γleverage	0.0748	4.09***
λ₁tau intercept	0.0023	0.31
λ₂forecast adj.	0.0096	1.55
λ₃tau persistence	0.9901	135.87***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0106	0.85
β GARCH Volatility persistence	0.9315	79.63***
γ leverage Additional response to negative shocks	0.0748	4.09***
λ₁ tau intercept Baseline long-term coefficient	0.0023	0.31
λ₂ forecast adj. Forecast performance sensitivity	0.0096	1.55
λ₃ tau persistence Long-term factor persistence	0.9901	135.87***

V-Lab

Summit Hotel Properties Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Summit Hotel Properties Inc Analyses