CBOE Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{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	41
αARCH	0.0726	2.43**
βGARCH	0.7275	20.28***
γleverage	0.1118	4.57***
λ₁tau intercept	0.8997	3.32***
λ₂forecast adj.	0.8596	4.90***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0726	2.43**
β GARCH Volatility persistence	0.7275	20.28***
γ leverage Additional response to negative shocks	0.1118	4.57***
λ₁ tau intercept Baseline long-term coefficient	0.8997	3.32***
λ₂ forecast adj. Forecast performance sensitivity	0.8596	4.90***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

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