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 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	0.8168	7.17***
αARCH	0.0722	6.71***
βGARCH	0.8904	53.90***

γ₁	0.0296	1.40
γ₂	0.0058	0.17
γ₃	-0.1395	-4.60***
γ₄	0.2246	8.11***
γ₅	-0.2357	-9.04***
γ₆	0.2436	7.56***
γ₇	-0.2356	-6.29***
γ₈	0.1819	3.74***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8168	7.17***
α ARCH Response to squared shocks	0.0722	6.71***
β GARCH Volatility persistence	0.8904	53.90***

γ₁	0.0296	1.40
γ₂	0.0058	0.17
γ₃	-0.1395	-4.60***
γ₄	0.2246	8.11***
γ₅	-0.2357	-9.04***
γ₆	0.2436	7.56***
γ₇	-0.2356	-6.29***
γ₈	0.1819	3.74***

V-Lab

General Electric Co Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other General Electric Co Analyses