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
ωconst	5.3794	1.34
αARCH	0.1031	3.12***
βGARCH	0.8337	11.33***

γ₁	7.9485	7.01***
γ₂	-8.0914	-2.64***
γ₃	-0.6016	-0.13
γ₄	0.6953	0.15
γ₅	-1.6857	-0.44
γ₆	5.0511	1.79*
γ₇	-5.4065	-2.31**
γ₈	2.4454	1.24

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.3794	1.34
α ARCH Response to squared shocks	0.1031	3.12***
β GARCH Volatility persistence	0.8337	11.33***

γ₁	7.9485	7.01***
γ₂	-8.0914	-2.64***
γ₃	-0.6016	-0.13
γ₄	0.6953	0.15
γ₅	-1.6857	-0.44
γ₆	5.0511	1.79*
γ₇	-5.4065	-2.31**
γ₈	2.4454	1.24

V-Lab

Puldin Lion Group Reit Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Puldin Lion Group Reit Analyses