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

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	0.2646	3.33***
βGARCH	0.6436	8.90***
γleverage	-0.1354	-1.48
λ₁tau intercept	0.6261	1.42
λ₂forecast adj.	0.0827	2.28**
λ₃tau persistence	0.9173	26.19***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.2646	3.33***
β GARCH Volatility persistence	0.6436	8.90***
γ leverage Additional response to negative shocks	-0.1354	-1.48
λ₁ tau intercept Baseline long-term coefficient	0.6261	1.42
λ₂ forecast adj. Forecast performance sensitivity	0.0827	2.28**
λ₃ tau persistence Long-term factor persistence	0.9173	26.19***

V-Lab

Remark Holdings Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Remark Holdings Inc Analyses