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
ωconst	0.8950	3.95***
αARCH	0.0717	8.22***
βGARCH	0.8959	74.50***

γ₁	-0.2393	-4.12***
γ₂	0.3240	3.95***
γ₃	-0.1281	-2.49**
γ₄	0.1109	2.71***
γ₅	-0.0966	-2.29**
γ₆	0.0582	1.21
γ₇	-0.0523	-1.38

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8950	3.95***
α ARCH Response to squared shocks	0.0717	8.22***
β GARCH Volatility persistence	0.8959	74.50***

γ₁	-0.2393	-4.12***
γ₂	0.3240	3.95***
γ₃	-0.1281	-2.49**
γ₄	0.1109	2.71***
γ₅	-0.0966	-2.29**
γ₆	0.0582	1.21
γ₇	-0.0523	-1.38

V-Lab

SBA Communications Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SBA Communications Corp Analyses