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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Param	Value	t-stat
ωconst	0.7566	7.35***
αARCH	0.0997	10.37***
βGARCH	0.8639	72.68***

γ₁	0.0127	0.45
γ₂	0.0404	0.91
γ₃	-0.1645	-5.25***
γ₄	0.1987	6.91***
γ₅	-0.1442	-5.61***
γ₆	0.1044	3.75***
γ₇	-0.0632	-2.28**
γ₈	0.0127	0.64

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7566	7.35***
α ARCH Response to squared shocks	0.0997	10.37***
β GARCH Volatility persistence	0.8639	72.68***

γ₁	0.0127	0.45
γ₂	0.0404	0.91
γ₃	-0.1645	-5.25***
γ₄	0.1987	6.91***
γ₅	-0.1442	-5.61***
γ₆	0.1044	3.75***
γ₇	-0.0632	-2.28**
γ₈	0.0127	0.64

V-Lab

NASDAQ Composite Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NASDAQ Composite Index Analyses