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	0.3548	1.20
αARCH	0.0994	0.50
βGARCH	0.0708	0.41
γleverage	0.2332	1.15
δpower	3.0000	0.78

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3548	1.20
α ARCH Response to squared shocks	0.0994	0.50
β GARCH Volatility persistence	0.0708	0.41
γ leverage Additional response to negative shocks	0.2332	1.15
δ power Transformation power	3.0000	0.78

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Signature Residency REIT Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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