These terms appear in the chart and tables on this page:

Page Layout

The page has these main sections from top to bottom:

• 1. Header

  Shows the dataset name and today's COVOL Index value with daily change. Red text means the value increased; green means it decreased. Includes help and video buttons.

• 2. COVOL Time Series Chart

  Main chart showing the COVOL Index over time. Red vertical lines mark historical high-COVOL events. Use the Compare menu to overlay other COVOL analyses or stress indices.

• 3. Chart Date Range Selector

  Below the chart, controls the visible date range for the daily COVOL time series. Drag handles to zoom, use preset buttons (6M, 1Y, 2Y, 5Y, 10Y, All), or use the date pickers to select exact start and end dates.

• 4. Loadings/Events Date Selector

  Above the loadings table, select a month to view factor loadings and top events as of that date. Loadings and events data are available at monthly granularity.

• 5. Loadings Table

  Shows each asset's sensitivity (Loading) and variance-weighted sensitivity (VW Loading) to the common volatility factor. Click column headers to sort. Paginated with 20 rows per page.

• 6. Top Events Table

  Historical dates with the highest COVOL values. Each row shows Rank, Date, COVOL value, and Event description.

Using the Time Series Chart

The chart provides several interactive features:

• Compare Menu

  A dropdown with checkboxes organized into two sections: 'Other COVOL Analyses' (other datasets) and 'Stress Indices' (EPUI, GPR, etc.). Check multiple items to overlay them on the chart. Other COVOL analyses appear on the primary Y-axis; stress indices and AR(1) innovations appear on a secondary Y-axis.

• Event Markers

  Red vertical lines mark historical high-COVOL dates. Hover over a line to see a popup with the event description, COVOL value, and COVOL Index value.

• Chart Hover Behavior

  When hovering over the chart (not on an event marker), a tooltip appears showing the date and COVOL values at that point. This lets you inspect values at any date along the time series.

• Range Selector

  Below the chart, drag the handles to zoom into a specific time period. Use preset buttons (6M, 1Y, 2Y, 5Y, 10Y, All) for common ranges, or use the date pickers to select exact start and end dates. Click and drag within the selector to pan.

• Download Button

  Download the COVOL time series data as a CSV file. You must be logged in. If you're logged out, the button shows 'LOG IN TO DOWNLOAD DATA'.

• Clear Button

  Removes all comparison series from the chart at once, returning to the default view with only the current dataset's COVOL Index.

Using the Tables

The loadings and events tables provide detailed data:

• Loadings Table

  Shows each asset's factor loading (raw sensitivity) and VW loading (variance-adjusted sensitivity). Click any column header to sort. This is useful for finding the highest or lowest loadings. Paginated with 20 rows per page for large datasets.

• Events Table

  Lists high-COVOL dates with four columns: Rank, Date, COVOL value, and Event description. New events that were not in the previous month's list are highlighted in bold. Use this to understand what drove past systematic volatility spikes.

• Date Selector

  Select a different month to see how loadings and events looked at different points in history. Loadings and events data are available at monthly granularity. The tables update to show data as of the selected month.

Loadings Table Columns

The loadings table shows these values for each asset (click any column header to sort):

• Asset

  The ticker symbol or name of each asset in the dataset.

• Loading

  Raw factor loading measuring the asset's exposure to common volatility. Higher values mean greater sensitivity to systematic shocks.

• VW Loading

  Variance-weighted loading that adjusts for each asset's return variance. Low VW loading means the asset is both less volatile and less sensitive to common shocks.

The chart and tables help you understand systematic volatility patterns:

Reading the Chart

The chart shows a 22-day moving average of the square root of COVOL, which smooths daily noise to reveal trends. Spikes indicate periods of elevated systematic stress. Compare current levels to historical peaks to gauge severity.

Understanding Loadings

Factor loadings reveal which assets are most exposed to systematic volatility:

• High Loadings

  Assets with high loadings are more sensitive than average to common volatility. During COVOL spikes, these assets experience larger volatility increases and amplify portfolio risk.

• Low Loadings

  Assets with low loadings are less sensitive than average. These maintain more independent volatility patterns and help reduce systematic exposure in a portfolio.

• VW Loadings

  Low VW loadings identify assets with both low overall volatility and low systematic sensitivity, which is useful for constructing risk-focused portfolios. High VW loadings indicate assets that are both volatile and sensitive to common shocks.

• Interpreting Values

  Higher loading values indicate greater sensitivity to the common volatility factor. Compare loadings across assets to identify which respond most and least strongly to systematic shocks.

COVOL is estimated using a multiplicative volatility decomposition that extracts the common factor from multivariate volatility patterns. For detailed methodology, see the Documentation section.

Daily Updates

The COVOL time series updates daily with the latest market data. After volatile days, COVOL typically increases. After calm days, it tends to decrease.

Chart Display

The chart displays the COVOL Index: a 22-day moving average of the square root of COVOL. The square root converts variance to a volatility scale (more intuitive), and the 22-day moving average filters out daily noise to reveal underlying trends.

Loadings Data

Loadings are estimated daily, but only the last observation of each month is stored as a permanent record. Use the date selector to view historical month-end loadings. Each asset's loading measures its sensitivity to the common volatility factor. VW Loadings adjust for each asset's return variance.

Events Data

The Top Events table is updated daily, but only month-end snapshots are stored permanently. Event descriptions are added by V-Lab researchers to explain what drove each spike. New events not in the previous month's list appear in bold.

Common Questions

How do I download data?

Click the download button above the chart. You must be logged in with a V-Lab account. If you're not logged in, the button shows 'LOG IN TO DOWNLOAD DATA'. The data exports as a CSV file.

How do I see loadings for a different date?

Use the date selector above the loadings table. Select a month (loadings and events are available at monthly granularity), and both tables will update to show data as of that month.

How do I compare COVOL with other series?

Click the Compare menu above the chart. It has two sections: 'Other COVOL Analyses' for comparing with other datasets, and 'Stress Indices' for adding EPUI, GPR, or other external indicators. Check multiple items to overlay them. Check 'AR(1) Innovations' to compare unexpected shocks rather than raw levels.

How do I zoom into a specific time period?

Use the range selector below the chart: drag the handles to select a range, use preset buttons (6M, 1Y, 2Y, 5Y, 10Y, All), or use the date pickers for exact dates.

Understanding the Data

Common questions about interpreting what you see:

Why does COVOL spike during certain periods?

COVOL spikes when volatility increases simultaneously across many assets, which typically happens during market stress events. Check the Top Events table to see what happened during historical spikes.

What do loading values mean?

Loadings measure an asset's sensitivity to common volatility. Higher loading values mean the asset responds more strongly to COVOL spikes. Lower loading values mean weaker response. High-loading assets amplify portfolio volatility during stress; low-loading assets help dampen it.

When should I use VW Loading vs raw Loading?

Use VW Loading when constructing low-risk portfolios. This identifies assets that are both less volatile and less systematically sensitive. Use raw Loading when you only care about systematic exposure regardless of overall volatility.

What does AR(1) Innovations mean?

When comparing to stress indices, AR(1) Innovations shows the unexpected 'shock' component by removing predictable momentum. This matches how COVOL works (measuring volatility shocks), making comparisons more meaningful. AR(1) innovations appear on the secondary Y-axis.

Why are there two Y-axes when I add comparisons?

When you compare COVOL with another COVOL analysis (a different dataset), both series share the same primary Y-axis on the left since they're measured in the same units. When you add stress indices (EPUI, GPR) or AR(1) innovations, these appear on a secondary Y-axis on the right because they use different scales.

What's the difference between COVOL and COVOL Index?

COVOL is a variance-like quantity updated daily, which represents the raw measure of common volatility. The COVOL Index is a smoothed version: a 22-day moving average of the square root of COVOL. The chart displays the COVOL Index because it filters out daily noise and shows clearer trends.

Here's how to quickly analyze COVOL for a dataset:

Portfolio Construction

To reduce portfolio exposure to common volatility, favor assets with low loadings. Click the Loading column header to sort. Low VW Loading assets are especially valuable since they're both less volatile and less systematically sensitive.