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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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	0.7535	7.37***
αARCH	0.1000	10.34***
βGARCH	0.8631	72.00***

γ₁	0.0104	0.36
γ₂	0.0459	1.04
γ₃	-0.1709	-5.46***
γ₄	0.2038	7.19***
γ₅	-0.1477	-5.82***
γ₆	0.1064	3.83***
γ₇	-0.0629	-2.26**
γ₈	0.0116	0.57

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7535	7.37***
α ARCH Response to squared shocks	0.1000	10.34***
β GARCH Volatility persistence	0.8631	72.00***

γ₁	0.0104	0.36
γ₂	0.0459	1.04
γ₃	-0.1709	-5.46***
γ₄	0.2038	7.19***
γ₅	-0.1477	-5.82***
γ₆	0.1064	3.83***
γ₇	-0.0629	-2.26**
γ₈	0.0116	0.57

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