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

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CBOE 1-Day Volatility Index

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CBOE Skew Index

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	0.6948	3.34***
αARCH	0.3662	1.48
βGARCH	0.2144	2.66***
γleverage	0.8388	1.16

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6948	3.34***
α ARCH Response to squared shocks	0.3662	1.48
β GARCH Volatility persistence	0.2144	2.66***
γ leverage Additional response to negative shocks	0.8388	1.16

V-Lab

Principal Focused Blue Chip ETF Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Principal Focused Blue Chip ETF Analyses