CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day 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
ωconst	1.7998	2.59***
αARCH	0.0810	9.28***
βGARCH	0.8896	78.54***

γ₁	0.1537	2.99***
γ₂	-0.2528	-2.73***
γ₃	0.1995	2.36**
γ₄	-0.1922	-3.12***
γ₅	0.1484	3.96***
γ₆	-0.0505	-2.16**
γ₇	-0.0278	-1.97**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7998	2.59***
α ARCH Response to squared shocks	0.0810	9.28***
β GARCH Volatility persistence	0.8896	78.54***

γ₁	0.1537	2.99***
γ₂	-0.2528	-2.73***
γ₃	0.1995	2.36**
γ₄	-0.1922	-3.12***
γ₅	0.1484	3.96***
γ₆	-0.0505	-2.16**
γ₇	-0.0278	-1.97**

V-Lab

Vornado Realty Trust Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vornado Realty Trust Analyses