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	0.7583	9.83***
αARCH	0.2179	7.30***
βGARCH	0.6464	18.31***

γ₁	0.0638	3.94***
γ₂	-0.0903	-3.29***
γ₃	0.0203	0.81
γ₄	0.0052	0.24
γ₅	0.0055	0.43

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7583	9.83***
α ARCH Response to squared shocks	0.2179	7.30***
β GARCH Volatility persistence	0.6464	18.31***

γ₁	0.0638	3.94***
γ₂	-0.0903	-3.29***
γ₃	0.0203	0.81
γ₄	0.0052	0.24
γ₅	0.0055	0.43

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