CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 1-Day Volatility Index

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CBOE Skew Index

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
ωlong-run	54.3107	2.55**
αscore	0.0782	11.18***
βpersistence	0.9990	1,998.00***
νDF	4.5224	8.76***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	54.3107	2.55**
α score Weight on the scaled score	0.0782	11.18***
β persistence Volatility persistence	0.9990	1,998.00***
ν DF Student-t tail thickness	4.5224	8.76***

V-Lab

Contextlogic Holdings Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Contextlogic Holdings Inc Analyses