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
mwindow	101
αARCH	0.2541	7.22***
βGARCH	0.5901	11.95***
γleverage	-0.1032	-1.72*
λ₁tau intercept	4.8845	0.81
λ₂forecast adj.	0.1967	1.08
λ₃tau persistence	0.7812	3.81***

Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.2541	7.22***
β GARCH Volatility persistence	0.5901	11.95***
γ leverage Additional response to negative shocks	-0.1032	-1.72*
λ₁ tau intercept Baseline long-term coefficient	4.8845	0.81
λ₂ forecast adj. Forecast performance sensitivity	0.1967	1.08
λ₃ tau persistence Long-term factor persistence	0.7812	3.81***

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