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	0.8890	6.35***
αARCH	0.0854	8.77***
βGARCH	0.8849	71.35***

γ₁	0.0503	4.83***
γ₂	-0.0846	-5.42***
γ₃	0.0568	5.46***
γ₄	-0.0310	-4.45***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8890	6.35***
α ARCH Response to squared shocks	0.0854	8.77***
β GARCH Volatility persistence	0.8849	71.35***

γ₁	0.0503	4.83***
γ₂	-0.0846	-5.42***
γ₃	0.0568	5.46***
γ₄	-0.0310	-4.45***

V-Lab

Prologis Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Prologis Inc Analyses