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	0.7519	7.36***
αARCH	0.0998	10.34***
βGARCH	0.8632	71.99***

γ₁	0.0107	0.38
γ₂	0.0448	1.02
γ₃	-0.1696	-5.44***
γ₄	0.2029	7.16***
γ₅	-0.1471	-5.80***
γ₆	0.1060	3.83***
γ₇	-0.0633	-2.28**
γ₈	0.0124	0.61

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7519	7.36***
α ARCH Response to squared shocks	0.0998	10.34***
β GARCH Volatility persistence	0.8632	71.99***

γ₁	0.0107	0.38
γ₂	0.0448	1.02
γ₃	-0.1696	-5.44***
γ₄	0.2029	7.16***
γ₅	-0.1471	-5.80***
γ₆	0.1060	3.83***
γ₇	-0.0633	-2.28**
γ₈	0.0124	0.61

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