CBOE Volatility Index

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CBOE DJIA 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
mwindow	101
αARCH	0.2540	7.25***
βGARCH	0.5911	12.03***
γleverage	-0.1040	-1.74*
λ₁tau intercept	4.9555	0.81
λ₂forecast adj.	0.1991	1.09
λ₃tau persistence	0.7786	3.77***

Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.2540	7.25***
β GARCH Volatility persistence	0.5911	12.03***
γ leverage Additional response to negative shocks	-0.1040	-1.74*
λ₁ tau intercept Baseline long-term coefficient	4.9555	0.81
λ₂ forecast adj. Forecast performance sensitivity	0.1991	1.09
λ₃ tau persistence Long-term factor persistence	0.7786	3.77***

V-Lab

CBOE S&P 500 Left Tail Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 Left Tail Volatility Index Analyses