CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 1-Day Volatility Index

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CBOE Skew Index

How volatility evolves over time

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{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	3.8646	1.25
αARCH	0.1300	10.21***
βGARCH	0.9856	88.98***
νDF	4.8100	3.80***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.8646	1.25
α ARCH Response to squared shocks	0.1300	10.21***
β GARCH Volatility persistence	0.9856	88.98***
ν DF Student-t tail thickness	4.8100	3.80***

V-Lab

Invesco Mortgage Capital Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco Mortgage Capital Inc Analyses