CBOE Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{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	0.1515	4.82***
αARCH	0.1570	9.73***
βGARCH	0.8300	46.90***
γleverage	0.0194	0.36
δpower	1.4552	6.41***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1515	4.82***
α ARCH Response to squared shocks	0.1570	9.73***
β GARCH Volatility persistence	0.8300	46.90***
γ leverage Additional response to negative shocks	0.0194	0.36
δ power Transformation power	1.4552	6.41***

V-Lab

Sam Holdings Corporation APARCH Volatility Analysis

Date Range:

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