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	0.4444	3.74***
αARCH	0.1588	1.86*
βGARCH	0.1747	1.18
γleverage	0.1419	0.45

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4444	3.74***
α ARCH Response to squared shocks	0.1588	1.86*
β GARCH Volatility persistence	0.1747	1.18
γ leverage Additional response to negative shocks	0.1419	0.45

V-Lab

Signature Residency REIT AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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