CBOE 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
mwindow	51
αARCH	0.2389	2.54**
βGARCH	0.3636	3.11***
γleverage	-0.1825	-1.86*
λ₁tau intercept	10.0000	1.17
λ₂forecast adj.	0.5260	1.28
λ₃tau persistence	0.0561	0.08

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.2389	2.54**
β GARCH Volatility persistence	0.3636	3.11***
γ leverage Additional response to negative shocks	-0.1825	-1.86*
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.17
λ₂ forecast adj. Forecast performance sensitivity	0.5260	1.28
λ₃ tau persistence Long-term factor persistence	0.0561	0.08

V-Lab

CBOE Silver ETF Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Silver ETF Volatility Index Analyses