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	0.0999	4.74***
βGARCH	0.6516	14.99***
γleverage	0.0744	2.23**
λ₁tau intercept	0.0099	1.65*
λ₂forecast adj.	0.0328	4.80***
λ₃tau persistence	0.9672	146.36***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0999	4.74***
β GARCH Volatility persistence	0.6516	14.99***
γ leverage Additional response to negative shocks	0.0744	2.23**
λ₁ tau intercept Baseline long-term coefficient	0.0099	1.65*
λ₂ forecast adj. Forecast performance sensitivity	0.0328	4.80***
λ₃ tau persistence Long-term factor persistence	0.9672	146.36***

V-Lab

MBIA Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MBIA Inc Analyses