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	0.8224	7.02***
αARCH	0.0703	6.91***
βGARCH	0.8956	59.21***

γ₁	0.0324	1.47
γ₂	0.0006	0.02
γ₃	-0.1342	-4.21***
γ₄	0.2181	7.51***
γ₅	-0.2258	-8.29***
γ₆	0.2271	6.99***
γ₇	-0.2068	-6.09***
γ₈	0.1138	4.46***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8224	7.02***
α ARCH Response to squared shocks	0.0703	6.91***
β GARCH Volatility persistence	0.8956	59.21***

γ₁	0.0324	1.47
γ₂	0.0006	0.02
γ₃	-0.1342	-4.21***
γ₄	0.2181	7.51***
γ₅	-0.2258	-8.29***
γ₆	0.2271	6.99***
γ₇	-0.2068	-6.09***
γ₈	0.1138	4.46***

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