CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	59.9068	2.60***
αARCH	0.0827	11.76***
βGARCH	0.9989	2,042.77***
νDF	4.2781	11.16***

Parameter	Value	t-statistic
ω const Unconditional variance weight	59.9068	2.60***
α ARCH Response to squared shocks	0.0827	11.76***
β GARCH Volatility persistence	0.9989	2,042.77***
ν DF Student-t tail thickness	4.2781	11.16***

V-Lab

Contextlogic Holdings Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Contextlogic Holdings Inc Analyses