CBOE China ETF Volatility Index

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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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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.9948	4.39***
α ARCH Response to squared shocks	0.2775	7.67***
β GARCH Volatility persistence	0.4500	7.65***

γ₁	0.6026	4.85***
γ₂	-1.0188	-5.94***
γ₃	0.8332	7.03***
γ₄	-0.6416	-5.24***
γ₅	0.4002	2.79***
γ₆	-0.2650	-1.13
γ₇	-0.0503	-0.18
γ₈	0.4688	2.22**
γ₉	-0.5213	-3.94***

V-Lab

Smart Powerr Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Smart Powerr Corp Analyses