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

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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	0.0602	3.81***
βGARCH	0.6344	15.08***
γleverage	0.1002	3.81***
λ₁tau intercept	0.0343	3.27***
λ₂forecast adj.	0.0493	4.95***
λ₃tau persistence	0.9358	77.37***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0602	3.81***
β GARCH Volatility persistence	0.6344	15.08***
γ leverage Additional response to negative shocks	0.1002	3.81***
λ₁ tau intercept Baseline long-term coefficient	0.0343	3.27***
λ₂ forecast adj. Forecast performance sensitivity	0.0493	4.95***
λ₃ tau persistence Long-term factor persistence	0.9358	77.37***

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Public Storage MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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