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
mwindow	116
αARCH	0.0441	1.11
βGARCH	0.6630	7.30***
γleverage	0.5000	2.85***
λ₁tau intercept	0.4724	0.51
λ₂forecast adj.	0.6459	0.90
λ₃tau persistence	0.1590	0.17

Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.0441	1.11
β GARCH Volatility persistence	0.6630	7.30***
γ leverage Additional response to negative shocks	0.5000	2.85***
λ₁ tau intercept Baseline long-term coefficient	0.4724	0.51
λ₂ forecast adj. Forecast performance sensitivity	0.6459	0.90
λ₃ tau persistence Long-term factor persistence	0.1590	0.17

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Premier Fund Reit MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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