CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

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{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	7.9837	1.18
αARCH	0.0660	12.11***
βGARCH	0.9956	278.64***
νDF	7.6110	1.65*

Parameter	Value	t-statistic
ω const Unconditional variance weight	7.9837	1.18
α ARCH Response to squared shocks	0.0660	12.11***
β GARCH Volatility persistence	0.9956	278.64***
ν DF Student-t tail thickness	7.6110	1.65*

V-Lab

NY Harbor ULSD Heating Oil GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NY Harbor ULSD Heating Oil Analyses