Deutsche Bank FX Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month 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
ωlong-run	0.3151	1.99**
αscore	0.0336	11.39***
βpersistence	0.9973	729.01***
νDF	8.1471	1.79*

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	0.3151	1.99**
α score Weight on the scaled score	0.0336	11.39***
β persistence Volatility persistence	0.9973	729.01***
ν DF Student-t tail thickness	8.1471	1.79*

V-Lab

United States Dollar Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other United States Dollar Index Analyses