CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month 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	1.4470	6.97***
αARCH	0.1026	9.76***
βGARCH	0.8654	73.31***

γ₁	0.0711	5.57***
γ₂	-0.1113	-5.41***
γ₃	0.0603	3.96***
γ₄	-0.0321	-2.40**
γ₅	0.0260	1.81*
γ₆	-0.0210	-1.93*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4470	6.97***
α ARCH Response to squared shocks	0.1026	9.76***
β GARCH Volatility persistence	0.8654	73.31***

γ₁	0.0711	5.57***
γ₂	-0.1113	-5.41***
γ₃	0.0603	3.96***
γ₄	-0.0321	-2.40**
γ₅	0.0260	1.81*
γ₆	-0.0210	-1.93*

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