CBOE Volatility Index

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CBOE DJIA 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	0.7591	9.82***
αARCH	0.2188	7.30***
βGARCH	0.6452	18.23***

γ₁	0.0644	3.94***
γ₂	-0.0911	-3.28***
γ₃	0.0206	0.81
γ₄	0.0045	0.21
γ₅	0.0064	0.50

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7591	9.82***
α ARCH Response to squared shocks	0.2188	7.30***
β GARCH Volatility persistence	0.6452	18.23***

γ₁	0.0644	3.94***
γ₂	-0.0911	-3.28***
γ₃	0.0206	0.81
γ₄	0.0045	0.21
γ₅	0.0064	0.50

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