CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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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	1.0692	9.70***
αARCH	0.0560	4.77***
βGARCH	0.8630	33.12***

γ₁	-0.0238	-1.75*
γ₂	0.0449	2.28**
γ₃	-0.0365	-2.98***
γ₄	0.0342	3.39***
γ₅	-0.0300	-4.34***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0692	9.70***
α ARCH Response to squared shocks	0.0560	4.77***
β GARCH Volatility persistence	0.8630	33.12***

γ₁	-0.0238	-1.75*
γ₂	0.0449	2.28**
γ₃	-0.0365	-2.98***
γ₄	0.0342	3.39***
γ₅	-0.0300	-4.34***

V-Lab

ICE US Coffee Arabica Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE US Coffee Arabica Analyses