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

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	1.0714	9.69***
αARCH	0.0550	4.74***
βGARCH	0.8657	33.67***

γ₁	-0.0233	-1.71*
γ₂	0.0440	2.25**
γ₃	-0.0358	-2.93***
γ₄	0.0337	3.34***
γ₅	-0.0297	-4.30***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0714	9.69***
α ARCH Response to squared shocks	0.0550	4.74***
β GARCH Volatility persistence	0.8657	33.67***

γ₁	-0.0233	-1.71*
γ₂	0.0440	2.25**
γ₃	-0.0358	-2.93***
γ₄	0.0337	3.34***
γ₅	-0.0297	-4.30***

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