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	0.9910	5.19***
αARCH	0.0722	7.20***
βGARCH	0.9094	77.26***

γ₁	-0.0239	-1.72*
γ₂	0.0556	2.86***
γ₃	-0.0480	-5.04***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9910	5.19***
α ARCH Response to squared shocks	0.0722	7.20***
β GARCH Volatility persistence	0.9094	77.26***

γ₁	-0.0239	-1.72*
γ₂	0.0556	2.86***
γ₃	-0.0480	-5.04***

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