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

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	0.8226	6.97***
αARCH	0.0714	6.99***
βGARCH	0.8945	58.61***

γ₁	0.0320	1.46
γ₂	0.0001	0.00
γ₃	-0.1318	-4.12***
γ₄	0.2148	7.34***
γ₅	-0.2219	-8.14***
γ₆	0.2227	6.90***
γ₇	-0.2022	-6.03***
γ₈	0.1103	4.39***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8226	6.97***
α ARCH Response to squared shocks	0.0714	6.99***
β GARCH Volatility persistence	0.8945	58.61***

γ₁	0.0320	1.46
γ₂	0.0001	0.00
γ₃	-0.1318	-4.12***
γ₄	0.2148	7.34***
γ₅	-0.2219	-8.14***
γ₆	0.2227	6.90***
γ₇	-0.2022	-6.03***
γ₈	0.1103	4.39***

V-Lab

General Electric Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other General Electric Co Analyses