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
mwindow	31
αARCH	0.5000	20.02***
βGARCH	0.5081	63.14***
γleverage	-0.5000	-20.19***
λ₁tau intercept	0.0000	0.00
λ₂forecast adj.	0.1345	7.01***
λ₃tau persistence	0.6406	11.60***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.5000	20.02***
β GARCH Volatility persistence	0.5081	63.14***
γ leverage Additional response to negative shocks	-0.5000	-20.19***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.1345	7.01***
λ₃ tau persistence Long-term factor persistence	0.6406	11.60***

V-Lab

Mount Logan Capital Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mount Logan Capital Inc Analyses