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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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
ωconst	3.4535	3.44***
αARCH	0.0201	0.62
βGARCH	0.2376	1.54
γleverage	0.7531	1.87*

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.4535	3.44***
α ARCH Response to squared shocks	0.0201	0.62
β GARCH Volatility persistence	0.2376	1.54
γ leverage Additional response to negative shocks	0.7531	1.87*

V-Lab

CBOE Realized Volatility Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Realized Volatility Index Analyses