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	81
αARCH	0.0462	1.88*
βGARCH	0.8538	47.25***
γleverage	0.1411	5.75***
λ₁tau intercept	0.0899	1.29
λ₂forecast adj.	0.3461	1.70*
λ₃tau persistence	0.5587	2.11**

Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0462	1.88*
β GARCH Volatility persistence	0.8538	47.25***
γ leverage Additional response to negative shocks	0.1411	5.75***
λ₁ tau intercept Baseline long-term coefficient	0.0899	1.29
λ₂ forecast adj. Forecast performance sensitivity	0.3461	1.70*
λ₃ tau persistence Long-term factor persistence	0.5587	2.11**

V-Lab

CBOE VIX Tail Hedge Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE VIX Tail Hedge Index Analyses