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	1.9804	1.77*
αARCH	0.1476	3.89***
βGARCH	0.9447	30.43***
νDF	5.6197	1.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9804	1.77*
α ARCH Response to squared shocks	0.1476	3.89***
β GARCH Volatility persistence	0.9447	30.43***
ν DF Student-t tail thickness	5.6197	1.22

V-Lab

Blue Owl Capital Corp GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Blue Owl Capital Corp Analyses