CBOE Volatility Index

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CBOE DJIA 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
mwindow	21
αARCH	0.0831	2.59***
βGARCH	0.7077	5.24***
γleverage	0.0019	0.03
λ₁tau intercept	8.6306	0.35
λ₂forecast adj.	0.0664	0.36
λ₃tau persistence	0.7235	0.94

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0831	2.59***
β GARCH Volatility persistence	0.7077	5.24***
γ leverage Additional response to negative shocks	0.0019	0.03
λ₁ tau intercept Baseline long-term coefficient	8.6306	0.35
λ₂ forecast adj. Forecast performance sensitivity	0.0664	0.36
λ₃ tau persistence Long-term factor persistence	0.7235	0.94

V-Lab

Keel Infrastructure Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Keel Infrastructure Corp Analyses