HSI Volatility Index

CBOE EFA ETF Volatility Index

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

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CBOE Skew Index

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	0.2027	1.23
αARCH	0.1322	1.77*
βGARCH	0.9578	30.33***
γleverage	-0.1268	-1.66*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2027	1.23
α ARCH Response to squared shocks	0.1322	1.77*
β GARCH Volatility persistence	0.9578	30.33***
γ leverage Additional response to negative shocks	-0.1268	-1.66*

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News Impact Curve

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