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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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	126
αARCH	0.0420	4.05***
βGARCH	0.8890	76.21***
γleverage	0.1014	5.99***
λ₁tau intercept	0.0191	0.58
λ₂forecast adj.	0.0054	0.70
λ₃tau persistence	0.9915	76.92***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0420	4.05***
β GARCH Volatility persistence	0.8890	76.21***
γ leverage Additional response to negative shocks	0.1014	5.99***
λ₁ tau intercept Baseline long-term coefficient	0.0191	0.58
λ₂ forecast adj. Forecast performance sensitivity	0.0054	0.70
λ₃ tau persistence Long-term factor persistence	0.9915	76.92***

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Ryman Hospitality Properties Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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