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	1.2225	3.64***
αARCH	0.1806	2.06**
βGARCH	0.4312	1.42

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2225	3.64***
α ARCH Response to squared shocks	0.1806	2.06**
β GARCH Volatility persistence	0.4312	1.42

V-Lab

Signature Residency REIT Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Signature Residency REIT Analyses