CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month Volatility Index

CBOE 1-Day 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
ωlong-run	1.1859	0.88
αscore	0.0573	4.55***
βpersistence	0.9809	44.05***
νDF	3.3473	2.70***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	1.1859	0.88
α score Weight on the scaled score	0.0573	4.55***
β persistence Volatility persistence	0.9809	44.05***
ν DF Student-t tail thickness	3.3473	2.70***

V-Lab

CME Feeder Cattle GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CME Feeder Cattle Analyses