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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	0.0002	3.64***
αARCH	0.1391	2.94***
βGARCH	0.8674	43.25***
γleverage	-0.0130	-0.23

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0002	3.64***
α ARCH Response to squared shocks	0.1391	2.94***
β GARCH Volatility persistence	0.8674	43.25***
γ leverage Additional response to negative shocks	-0.0130	-0.23

V-Lab

Bloomberg Asian Pacific Japanese Yen TR Index Value Unhedged JPY GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

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