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
mwindow	51
αARCH	0.1470	7.55***
βGARCH	0.7252	24.16***
γleverage	0.0067	0.28
λ₁tau intercept	0.2198	0.81
λ₂forecast adj.	0.1988	0.99
λ₃tau persistence	0.7585	3.03***

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.1470	7.55***
β GARCH Volatility persistence	0.7252	24.16***
γ leverage Additional response to negative shocks	0.0067	0.28
λ₁ tau intercept Baseline long-term coefficient	0.2198	0.81
λ₂ forecast adj. Forecast performance sensitivity	0.1988	0.99
λ₃ tau persistence Long-term factor persistence	0.7585	3.03***

V-Lab

Sam Holdings Corporation MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sam Holdings Corporation Analyses