CBOE 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
ωconst	1.2319	7.62***
αARCH	0.1066	10.35***
βGARCH	0.8613	72.13***

γ₁	0.0834	5.99***
γ₂	-0.1308	-5.81***
γ₃	0.0725	4.52***
γ₄	-0.0470	-3.39***
γ₅	0.0454	2.97***
γ₆	-0.0342	-2.93***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2319	7.62***
α ARCH Response to squared shocks	0.1066	10.35***
β GARCH Volatility persistence	0.8613	72.13***

γ₁	0.0834	5.99***
γ₂	-0.1308	-5.81***
γ₃	0.0725	4.52***
γ₄	-0.0470	-3.39***
γ₅	0.0454	2.97***
γ₆	-0.0342	-2.93***

V-Lab

FT Wilshire 5000 Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FT Wilshire 5000 Index Analyses