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
ωconst	0.9234	2.67***
αARCH	0.3074	3.08***
βGARCH	0.6062	5.92***

γ₁	25.4337	2.24**
γ₂	-45.5133	-2.65***
γ₃	26.7640	3.02***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9234	2.67***
α ARCH Response to squared shocks	0.3074	3.08***
β GARCH Volatility persistence	0.6062	5.92***

γ₁	25.4337	2.24**
γ₂	-45.5133	-2.65***
γ₃	26.7640	3.02***

V-Lab

Mount Logan Capital Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mount Logan Capital Inc Analyses