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

CBOE S&P 500 One-Year Volatility Index

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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0359	7.69***
α ARCH Response to squared shocks	0.0759	7.25***
β GARCH Volatility persistence	0.8690	51.18***

γ₁	0.0191	0.45
γ₂	0.0506	0.72
γ₃	-0.1482	-2.55**
γ₄	0.0660	1.23
γ₅	0.0931	2.22**
γ₆	-0.1750	-4.67***
γ₇	0.1619	3.67***
γ₈	-0.0467	-0.90
γ₉	-0.0766	-1.55
γ₁₀	0.0724	2.28**

V-Lab

Boeing Co/The Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Boeing Co/The Analyses