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

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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	0.4776	5.05***
αARCH	0.1521	5.17***
βGARCH	0.4468	6.34***

γ₁	-0.2964	-4.06***
γ₂	0.3407	3.06***
γ₃	-0.0308	-0.41
γ₄	-0.0562	-0.95
γ₅	0.1587	2.62***
γ₆	-0.2214	-3.13***
γ₇	0.0763	0.98
γ₈	0.1308	1.69*
γ₉	-0.1481	-2.74***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4776	5.05***
α ARCH Response to squared shocks	0.1521	5.17***
β GARCH Volatility persistence	0.4468	6.34***

γ₁	-0.2964	-4.06***
γ₂	0.3407	3.06***
γ₃	-0.0308	-0.41
γ₄	-0.0562	-0.95
γ₅	0.1587	2.62***
γ₆	-0.2214	-3.13***
γ₇	0.0763	0.98
γ₈	0.1308	1.69*
γ₉	-0.1481	-2.74***

V-Lab

CME Live Cattle Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CME Live Cattle Analyses