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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Param	Value	t-stat
ωlong-run	0.8390	2.32**
αscore	0.0716	7.14***
βpersistence	0.9794	100.58***
νDF	6.3380	1.42

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	0.8390	2.32**
α score Weight on the scaled score	0.0716	7.14***
β persistence Volatility persistence	0.9794	100.58***
ν DF Student-t tail thickness	6.3380	1.42

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