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

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	0.1415	2.74***
αARCH	0.1933	5.94***
βGARCH	0.8148	38.33***
γleverage	-0.0162	-0.35

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1415	2.74***
α ARCH Response to squared shocks	0.1933	5.94***
β GARCH Volatility persistence	0.8148	38.33***
γ leverage Additional response to negative shocks	-0.0162	-0.35

V-Lab

Keel Infrastructure Corp Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Keel Infrastructure Corp Analyses