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	0.8209	7.05***
αARCH	0.0710	6.87***
βGARCH	0.8940	57.89***

γ₁	0.0327	1.49
γ₂	0.0003	0.01
γ₃	-0.1351	-4.27***
γ₄	0.2204	7.68***
γ₅	-0.2296	-8.45***
γ₆	0.2304	7.05***
γ₇	-0.2062	-6.04***
γ₈	0.1104	4.34***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8209	7.05***
α ARCH Response to squared shocks	0.0710	6.87***
β GARCH Volatility persistence	0.8940	57.89***

γ₁	0.0327	1.49
γ₂	0.0003	0.01
γ₃	-0.1351	-4.27***
γ₄	0.2204	7.68***
γ₅	-0.2296	-8.45***
γ₆	0.2304	7.05***
γ₇	-0.2062	-6.04***
γ₈	0.1104	4.34***

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