CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE Skew 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	21
αARCH	0.0222	0.43
βGARCH	0.6573	0.38
γleverage	-0.0073	-0.15
λ₁tau intercept	10.0000	0.30
λ₂forecast adj.	0.1799	0.31
λ₃tau persistence	0.0599	0.02

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0222	0.43
β GARCH Volatility persistence	0.6573	0.38
γ leverage Additional response to negative shocks	-0.0073	-0.15
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.30
λ₂ forecast adj. Forecast performance sensitivity	0.1799	0.31
λ₃ tau persistence Long-term factor persistence	0.0599	0.02

V-Lab

Smith Douglas Homes Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Smith Douglas Homes Corp Analyses