CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

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{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	101
αARCH	0.0226	3.59***
βGARCH	0.9466	160.98***
γleverage	0.0579	5.74***
λ₁tau intercept	6.7611	0.18
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.4541	0.15

Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.0226	3.59***
β GARCH Volatility persistence	0.9466	160.98***
γ leverage Additional response to negative shocks	0.0579	5.74***
λ₁ tau intercept Baseline long-term coefficient	6.7611	0.18
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.4541	0.15

V-Lab

SBA Communications Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SBA Communications Corp Analyses