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	71
αARCH	0.0644	3.55***
βGARCH	0.7387	13.72***
γleverage	0.0732	1.19
λ₁tau intercept	0.5661	1.03
λ₂forecast adj.	0.8221	8.17***
λ₃tau persistence	0.1316	1.86*

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0644	3.55***
β GARCH Volatility persistence	0.7387	13.72***
γ leverage Additional response to negative shocks	0.0732	1.19
λ₁ tau intercept Baseline long-term coefficient	0.5661	1.03
λ₂ forecast adj. Forecast performance sensitivity	0.8221	8.17***
λ₃ tau persistence Long-term factor persistence	0.1316	1.86*

V-Lab

Contextlogic Holdings Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Contextlogic Holdings Inc Analyses