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

CBOE 1-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	1.4401	6.95***
αARCH	0.1023	9.74***
βGARCH	0.8656	73.29***

γ₁	0.0707	5.56***
γ₂	-0.1107	-5.41***
γ₃	0.0600	3.95***
γ₄	-0.0317	-2.38**
γ₅	0.0254	1.78*
γ₆	-0.0206	-1.91*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4401	6.95***
α ARCH Response to squared shocks	0.1023	9.74***
β GARCH Volatility persistence	0.8656	73.29***

γ₁	0.0707	5.56***
γ₂	-0.1107	-5.41***
γ₃	0.0600	3.95***
γ₄	-0.0317	-2.38**
γ₅	0.0254	1.78*
γ₆	-0.0206	-1.91*

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