CBOE Volatility Index

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CBOE DJIA 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
mwindow	26
αARCH	0.0884	1.77*
βGARCH	0.3902	2.92***
γleverage	0.2620	1.78*
λ₁tau intercept	10.0000	2.18**
λ₂forecast adj.	0.5302	2.16**
λ₃tau persistence	0.2047	0.72

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0884	1.77*
β GARCH Volatility persistence	0.3902	2.92***
γ leverage Additional response to negative shocks	0.2620	1.78*
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.18**
λ₂ forecast adj. Forecast performance sensitivity	0.5302	2.16**
λ₃ tau persistence Long-term factor persistence	0.2047	0.72

V-Lab

QTREX Quantum Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other QTREX Quantum Ltd Analyses