CBOE Goldman Sachs Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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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	0.0353	4.45***
αARCH	0.0677	7.74***
βGARCH	0.9311	117.74***
γleverage	0.3478	3.80***
δpower	1.3757	7.46***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0353	4.45***
α ARCH Response to squared shocks	0.0677	7.74***
β GARCH Volatility persistence	0.9311	117.74***
γ leverage Additional response to negative shocks	0.3478	3.80***
δ power Transformation power	1.3757	7.46***

V-Lab

Goldman Sachs Group Inc/The APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Goldman Sachs Group Inc/The Analyses