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	130.2389	1.77*
αARCH	0.1279	29.04***
βGARCH	0.9990	1,758.80***
νDF	2.0006

Parameter	Value	t-statistic
ω const Unconditional variance weight	130.2389	1.77*
α ARCH Response to squared shocks	0.1279	29.04***
β GARCH Volatility persistence	0.9990	1,758.80***
ν DF Student-t tail thickness	2.0006

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Premier Fund Reit GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

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