CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	1.3598	7.91***
αARCH	0.1015	10.13***
βGARCH	0.8650	72.97***

γ₁	0.0870	6.82***
γ₂	-0.1385	-6.68***
γ₃	0.0809	5.21***
γ₄	-0.0535	-3.79***
γ₅	0.0536	3.00***
γ₆	-0.0631	-2.33**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3598	7.91***
α ARCH Response to squared shocks	0.1015	10.13***
β GARCH Volatility persistence	0.8650	72.97***

γ₁	0.0870	6.82***
γ₂	-0.1385	-6.68***
γ₃	0.0809	5.21***
γ₄	-0.0535	-3.79***
γ₅	0.0536	3.00***
γ₆	-0.0631	-2.33**

V-Lab

S&P 500 Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P 500 Index Analyses