CBOE Goldman Sachs Volatility Index

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	1.3977	7.05***
αARCH	0.0737	6.88***
βGARCH	0.8906	51.11***

γ₁	-0.1029	-2.81***
γ₂	0.2549	4.33***
γ₃	-0.2925	-5.85***
γ₄	0.2211	4.52***
γ₅	-0.0911	-1.97**
γ₆	0.0117	0.27
γ₇	-0.0082	-0.26

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3977	7.05***
α ARCH Response to squared shocks	0.0737	6.88***
β GARCH Volatility persistence	0.8906	51.11***

γ₁	-0.1029	-2.81***
γ₂	0.2549	4.33***
γ₃	-0.2925	-5.85***
γ₄	0.2211	4.52***
γ₅	-0.0911	-1.97**
γ₆	0.0117	0.27
γ₇	-0.0082	-0.26

V-Lab

Goldman Sachs Group Inc/The Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Goldman Sachs Group Inc/The Analyses