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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0157	4.67***
α ARCH Response to squared shocks	0.1955	6.03***
β GARCH Volatility persistence	0.7788	40.76***
γ leverage Additional response to negative shocks	-0.0009	-0.02

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Luna Innovations Inc Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Luna Innovations Inc Analyses