CBOE 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	31
αARCH	1.0000	4.69***
βGARCH	0.1437	2.52**
γleverage	-0.3993	-0.88
λ₁tau intercept	10.0000	8.93***
λ₂forecast adj.	0.0840	2.33**
λ₃tau persistence	0.9106	82.59***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	1.0000	4.69***
β GARCH Volatility persistence	0.1437	2.52**
γ leverage Additional response to negative shocks	-0.3993	-0.88
λ₁ tau intercept Baseline long-term coefficient	10.0000	8.93***
λ₂ forecast adj. Forecast performance sensitivity	0.0840	2.33**
λ₃ tau persistence Long-term factor persistence	0.9106	82.59***

V-Lab

Securitize Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Securitize Corp Analyses