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

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.5000	7,575.76***
β GARCH Volatility persistence	0.7457
γ leverage Additional response to negative shocks	-0.5000	-5,813.95***
λ₁ tau intercept Baseline long-term coefficient	9.9969	419.09***
λ₂ forecast adj. Forecast performance sensitivity	0.4688	751.36***
λ₃ tau persistence Long-term factor persistence	0.5312	435.73***

V-Lab

Global X Nasdaq-100 Income Edge ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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