CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day 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	1.4506	7.00***
αARCH	0.1026	9.76***
βGARCH	0.8654	73.29***

γ₁	0.0715	5.59***
γ₂	-0.1118	-5.42***
γ₃	0.0606	3.97***
γ₄	-0.0325	-2.43**
γ₅	0.0267	1.85*
γ₆	-0.0217	-1.99**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4506	7.00***
α ARCH Response to squared shocks	0.1026	9.76***
β GARCH Volatility persistence	0.8654	73.29***

γ₁	0.0715	5.59***
γ₂	-0.1118	-5.42***
γ₃	0.0606	3.97***
γ₄	-0.0325	-2.43**
γ₅	0.0267	1.85*
γ₆	-0.0217	-1.99**

V-Lab

Dow Jones Industrial Average Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Industrial Average Analyses