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

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	0.6207	7.39***
α ARCH Response to squared shocks	0.2115	7.09***
β GARCH Volatility persistence	0.6365	17.12***

γ₁	-0.1283	-1.59
γ₂	0.3411	2.79***
γ₃	-0.3703	-3.75***
γ₄	0.1770	1.86*
γ₅	0.0438	0.49
γ₆	-0.2011	-1.80*
γ₇	0.2556	2.07**
γ₈	-0.1796	-1.71*
γ₉	0.0667	0.59
γ₁₀	0.0112	0.12

V-Lab

Deutsche Bank FX Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Bank FX Volatility Index Analyses