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	1.0642	4.82***
αARCH	0.1684	8.70***
βGARCH	0.7209	21.32***

γ₁	-0.4495	-2.18**
γ₂	0.7413	2.44**
γ₃	-0.3875	-2.12**
γ₄	-0.0491	-0.31
γ₅	0.3437	2.18**
γ₆	-0.3919	-1.83*
γ₇	0.6621	2.46**
γ₈	-1.0139	-4.07***
γ₉	0.7461	3.77***
γ₁₀	-0.1903	-1.39

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0642	4.82***
α ARCH Response to squared shocks	0.1684	8.70***
β GARCH Volatility persistence	0.7209	21.32***

γ₁	-0.4495	-2.18**
γ₂	0.7413	2.44**
γ₃	-0.3875	-2.12**
γ₄	-0.0491	-0.31
γ₅	0.3437	2.18**
γ₆	-0.3919	-1.83*
γ₇	0.6621	2.46**
γ₈	-1.0139	-4.07***
γ₉	0.7461	3.77***
γ₁₀	-0.1903	-1.39

V-Lab

Sam Holdings Corporation Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sam Holdings Corporation Analyses