CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

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How volatility evolves over time

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{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	1.3513	7.07***
αARCH	0.0998	9.37***
βGARCH	0.8646	67.34***

γ₁	0.0644	5.39***
γ₂	-0.0952	-5.02***
γ₃	0.0456	3.32***
γ₄	-0.0307	-2.39**
γ₅	0.0412	2.51**
γ₆	-0.0592	-2.40**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3513	7.07***
α ARCH Response to squared shocks	0.0998	9.37***
β GARCH Volatility persistence	0.8646	67.34***

γ₁	0.0644	5.39***
γ₂	-0.0952	-5.02***
γ₃	0.0456	3.32***
γ₄	-0.0307	-2.39**
γ₅	0.0412	2.51**
γ₆	-0.0592	-2.40**

V-Lab

Dow Jones Composite Average Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Composite Average Analyses