CBOE Volatility Index

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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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Param	Value	t-stat
ωconst	6.2153	8.34***
αARCH	0.0759	1.03
βGARCH	0.0406	1.05
γleverage	-0.5753	-0.42

Parameter	Value	t-statistic
ω const Unconditional variance weight	6.2153	8.34***
α ARCH Response to squared shocks	0.0759	1.03
β GARCH Volatility persistence	0.0406	1.05
γ leverage Additional response to negative shocks	-0.5753	-0.42

V-Lab

Miami International Hold Inc AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Miami International Hold Inc Analyses