CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	0.0657	3.10***
αARCH	0.1163	5.44***
βGARCH	0.8837	41.49***
γleverage	0.0737	0.82
δpower	0.8354	4.42***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0657	3.10***
α ARCH Response to squared shocks	0.1163	5.44***
β GARCH Volatility persistence	0.8837	41.49***
γ leverage Additional response to negative shocks	0.0737	0.82
δ power Transformation power	0.8354	4.42***

V-Lab

RBOB Gasoline APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other RBOB Gasoline Analyses