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
ωconst	0.4816	4.01***
αARCH	0.1698	5.93***
βGARCH	0.7305	19.74***

γ₁	-0.9689	-2.35**
γ₂	1.4178	2.36**
γ₃	-0.2130	-0.58
γ₄	-0.6347	-1.76*
γ₅	0.8094	2.17**
γ₆	-0.9804	-2.39**
γ₇	0.8369	2.32**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4816	4.01***
α ARCH Response to squared shocks	0.1698	5.93***
β GARCH Volatility persistence	0.7305	19.74***

γ₁	-0.9689	-2.35**
γ₂	1.4178	2.36**
γ₃	-0.2130	-0.58
γ₄	-0.6347	-1.76*
γ₅	0.8094	2.17**
γ₆	-0.9804	-2.39**
γ₇	0.8369	2.32**

V-Lab

Rithm Property Trust Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Rithm Property Trust Inc Analyses