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	26
αARCH	0.2968	2.62***
βGARCH	0.6273	7.29***
γleverage	-0.1662	-1.41
λ₁tau intercept	0.6755	1.40
λ₂forecast adj.	0.0843	2.25**
λ₃tau persistence	0.9157	25.32***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.2968	2.62***
β GARCH Volatility persistence	0.6273	7.29***
γ leverage Additional response to negative shocks	-0.1662	-1.41
λ₁ tau intercept Baseline long-term coefficient	0.6755	1.40
λ₂ forecast adj. Forecast performance sensitivity	0.0843	2.25**
λ₃ tau persistence Long-term factor persistence	0.9157	25.32***

V-Lab

Remark Holdings Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Remark Holdings Inc Analyses