CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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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	1.2046	6.21***
αARCH	0.0932	6.19***
βGARCH	0.8902	58.91***

γ₁	0.0141	2.48**
γ₂	-0.0188	-2.61***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2046	6.21***
α ARCH Response to squared shocks	0.0932	6.19***
β GARCH Volatility persistence	0.8902	58.91***

γ₁	0.0141	2.48**
γ₂	-0.0188	-2.61***

V-Lab

ICE Brent Crude Oil Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE Brent Crude Oil Analyses