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 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	1.4123	7.13***
αARCH	0.0739	6.89***
βGARCH	0.8901	50.93***

γ₁	-0.0985	-2.72***
γ₂	0.2473	4.26***
γ₃	-0.2876	-5.84***
γ₄	0.2193	4.55***
γ₅	-0.0912	-2.00**
γ₆	0.0106	0.25
γ₇	-0.0057	-0.19

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4123	7.13***
α ARCH Response to squared shocks	0.0739	6.89***
β GARCH Volatility persistence	0.8901	50.93***

γ₁	-0.0985	-2.72***
γ₂	0.2473	4.26***
γ₃	-0.2876	-5.84***
γ₄	0.2193	4.55***
γ₅	-0.0912	-2.00**
γ₆	0.0106	0.25
γ₇	-0.0057	-0.19

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