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
mwindow	21
αARCH	0.1343	3.38***
βGARCH	0.5957	7.92***
γleverage	-0.0473	-1.07
λ₁tau intercept	0.0260	1.86*
λ₂forecast adj.	0.0556	3.75***
λ₃tau persistence	0.9370	51.99***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1343	3.38***
β GARCH Volatility persistence	0.5957	7.92***
γ leverage Additional response to negative shocks	-0.0473	-1.07
λ₁ tau intercept Baseline long-term coefficient	0.0260	1.86*
λ₂ forecast adj. Forecast performance sensitivity	0.0556	3.75***
λ₃ tau persistence Long-term factor persistence	0.9370	51.99***

V-Lab

NYMEX Platinum MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NYMEX Platinum Analyses