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

CBOE S&P 500 6-Month 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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Param	Value	t-stat
mwindow	36
αARCH	0.0360	3.38***
βGARCH	0.8193	23.61***
γleverage	0.0405	2.54**
λ₁tau intercept	0.0354	2.10**
λ₂forecast adj.	0.2753	2.87***
λ₃tau persistence	0.6841	6.14***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0360	3.38***
β GARCH Volatility persistence	0.8193	23.61***
γ leverage Additional response to negative shocks	0.0405	2.54**
λ₁ tau intercept Baseline long-term coefficient	0.0354	2.10**
λ₂ forecast adj. Forecast performance sensitivity	0.2753	2.87***
λ₃ tau persistence Long-term factor persistence	0.6841	6.14***

V-Lab

Invesco DB Agriculture Fund MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Agriculture Fund Analyses