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	0.0267	8.95***
αARCH	0.0839	11.11***
βGARCH	0.9109	124.09***
γleverage	0.7043	9.26***
δpower	1.0403	10.36***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0267	8.95***
α ARCH Response to squared shocks	0.0839	11.11***
β GARCH Volatility persistence	0.9109	124.09***
γ leverage Additional response to negative shocks	0.7043	9.26***
δ power Transformation power	1.0403	10.36***

V-Lab

S&P MidCap 400 Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P MidCap 400 Index Analyses