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

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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	0.0090	3.49***
αARCH	0.0083	2.16**
βGARCH	0.9907	245.29***
γleverage	1.0000	83.60***
δpower	0.6052	1.99**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0090	3.49***
α ARCH Response to squared shocks	0.0083	2.16**
β GARCH Volatility persistence	0.9907	245.29***
γ leverage Additional response to negative shocks	1.0000	83.60***
δ power Transformation power	0.6052	1.99**

V-Lab

CME Lean Hogs APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CME Lean Hogs Analyses