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	0.7466	7.32***
αARCH	0.0997	10.32***
βGARCH	0.8635	72.08***

γ₁	0.0074	0.26
γ₂	0.0510	1.16
γ₃	-0.1755	-5.64***
γ₄	0.2088	7.32***
γ₅	-0.1521	-5.92***
γ₆	0.1096	3.86***
γ₇	-0.0650	-2.10**
γ₈	0.0083	0.18

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7466	7.32***
α ARCH Response to squared shocks	0.0997	10.32***
β GARCH Volatility persistence	0.8635	72.08***

γ₁	0.0074	0.26
γ₂	0.0510	1.16
γ₃	-0.1755	-5.64***
γ₄	0.2088	7.32***
γ₅	-0.1521	-5.92***
γ₆	0.1096	3.86***
γ₇	-0.0650	-2.10**
γ₈	0.0083	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