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

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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	0.0244	2.65***
αARCH	0.2790	3.36***
βGARCH	0.5790	5.20***

γ₁	-54.2746	-1.33
γ₂	72.3560	1.13
γ₃	48.9603	1.29
γ₄	-207.4702	-6.05***
γ₅	282.0111	5.66***
γ₆	-215.2528	-4.54***
γ₇	78.9706	3.01***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0244	2.65***
α ARCH Response to squared shocks	0.2790	3.36***
β GARCH Volatility persistence	0.5790	5.20***

γ₁	-54.2746	-1.33
γ₂	72.3560	1.13
γ₃	48.9603	1.29
γ₄	-207.4702	-6.05***
γ₅	282.0111	5.66***
γ₆	-215.2528	-4.54***
γ₇	78.9706	3.01***

V-Lab

Boost Run Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Boost Run Inc Analyses