CBOE Volatility Index

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CBOE DJIA Volatility Index

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
ωlong-run	15.2458	0.89
αscore	0.1910	2.82***
βpersistence	0.9518	18.75***
νDF	4.5438	1.22

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	15.2458	0.89
α score Weight on the scaled score	0.1910	2.82***
β persistence Volatility persistence	0.9518	18.75***
ν DF Student-t tail thickness	4.5438	1.22

V-Lab

Mount Logan Capital Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mount Logan Capital Inc Analyses