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	0.7601	9.87***
αARCH	0.2186	7.29***
βGARCH	0.6446	18.14***

γ₁	0.0643	3.92***
γ₂	-0.0902	-3.23***
γ₃	0.0175	0.68
γ₄	0.0126	0.52
γ₅	-0.0161	-0.48

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7601	9.87***
α ARCH Response to squared shocks	0.2186	7.29***
β GARCH Volatility persistence	0.6446	18.14***

γ₁	0.0643	3.92***
γ₂	-0.0902	-3.23***
γ₃	0.0175	0.68
γ₄	0.0126	0.52
γ₅	-0.0161	-0.48

V-Lab

Deutsche Bank FX Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Bank FX Volatility Index Analyses