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	0.3933	3.73***
α ARCH Response to squared shocks	0.1637	2.83***
β GARCH Volatility persistence	0.4293	2.08**

γ₁	-12.0828	-1.22
γ₂	14.0385	0.99
γ₃	1.3470	0.15
γ₄	-8.8725	-0.85
γ₅	22.3177	1.68*
γ₆	-46.0491	-3.07***
γ₇	69.3715	4.66***
γ₈	-80.5526	-5.22***
γ₉	57.8800	4.53***
γ₁₀	-27.7139	-2.10**

V-Lab

Principal Focused Blue Chip ETF Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Principal Focused Blue Chip ETF Analyses