CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

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CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{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	1.5629	4.50***
αARCH	0.0740	11.15***
βGARCH	0.9237	147.62***

γ₁	0.0109	0.33
γ₂	-0.0413	-0.88
γ₃	0.0590	1.84*
γ₄	-0.0707	-2.61***
γ₅	0.0743	4.35***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5629	4.50***
α ARCH Response to squared shocks	0.0740	11.15***
β GARCH Volatility persistence	0.9237	147.62***

γ₁	0.0109	0.33
γ₂	-0.0413	-0.88
γ₃	0.0590	1.84*
γ₄	-0.0707	-2.61***
γ₅	0.0743	4.35***

V-Lab

AES Corp/VA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other AES Corp/VA Analyses