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

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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	0.8211	7.09***
αARCH	0.0711	6.86***
βGARCH	0.8936	57.50***

γ₁	0.0322	1.47
γ₂	0.0013	0.04
γ₃	-0.1357	-4.31***
γ₄	0.2205	7.73***
γ₅	-0.2293	-8.52***
γ₆	0.2301	7.11***
γ₇	-0.2059	-6.10***
γ₈	0.1101	4.38***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8211	7.09***
α ARCH Response to squared shocks	0.0711	6.86***
β GARCH Volatility persistence	0.8936	57.50***

γ₁	0.0322	1.47
γ₂	0.0013	0.04
γ₃	-0.1357	-4.31***
γ₄	0.2205	7.73***
γ₅	-0.2293	-8.52***
γ₆	0.2301	7.11***
γ₇	-0.2059	-6.10***
γ₈	0.1101	4.38***

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