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	0.7444	7.31***
αARCH	0.0999	10.32***
βGARCH	0.8631	71.78***

γ₁	0.0064	0.22
γ₂	0.0533	1.21
γ₃	-0.1779	-5.72***
γ₄	0.2106	7.42***
γ₅	-0.1532	-5.99***
γ₆	0.1101	3.88***
γ₇	-0.0645	-2.07**
γ₈	0.0084	0.18

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7444	7.31***
α ARCH Response to squared shocks	0.0999	10.32***
β GARCH Volatility persistence	0.8631	71.78***

γ₁	0.0064	0.22
γ₂	0.0533	1.21
γ₃	-0.1779	-5.72***
γ₄	0.2106	7.42***
γ₅	-0.1532	-5.99***
γ₆	0.1101	3.88***
γ₇	-0.0645	-2.07**
γ₈	0.0084	0.18

V-Lab

NASDAQ Composite Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NASDAQ Composite Index Analyses