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	0.3429	1.25
αARCH	0.1200	0.76
βGARCH	0.1755	0.69
γleverage	0.1857	0.77
δpower	3.0000	0.93

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3429	1.25
α ARCH Response to squared shocks	0.1200	0.76
β GARCH Volatility persistence	0.1755	0.69
γ leverage Additional response to negative shocks	0.1857	0.77
δ power Transformation power	3.0000	0.93

V-Lab

Signature Residency REIT APARCH Volatility Analysis

Date Range:

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