CBOE Volatility Index

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CBOE DJIA 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	0.0653	5.07***
βGARCH	0.7962	46.33***
γleverage	0.1032	5.09***
λ₁tau intercept	0.0682	1.28
λ₂forecast adj.	0.0815	1.49
λ₃tau persistence	0.8886	11.64***

Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0653	5.07***
β GARCH Volatility persistence	0.7962	46.33***
γ leverage Additional response to negative shocks	0.1032	5.09***
λ₁ tau intercept Baseline long-term coefficient	0.0682	1.28
λ₂ forecast adj. Forecast performance sensitivity	0.0815	1.49
λ₃ tau persistence Long-term factor persistence	0.8886	11.64***

V-Lab

Welltower Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Welltower Inc Analyses