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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0072	3.93***
α ARCH Response to squared shocks	0.0802	4.94***
β GARCH Volatility persistence	0.8780	69.73***
γ leverage Additional response to negative shocks	0.0720	2.39**

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