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	61
αARCH	0.0038	0.50
βGARCH	0.8578	86.15***
γleverage	0.1707	12.61***
λ₁tau intercept	0.0049	1.99**
λ₂forecast adj.	0.0327	3.54***
λ₃tau persistence	0.9634	91.02***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0038	0.50
β GARCH Volatility persistence	0.8578	86.15***
γ leverage Additional response to negative shocks	0.1707	12.61***
λ₁ tau intercept Baseline long-term coefficient	0.0049	1.99**
λ₂ forecast adj. Forecast performance sensitivity	0.0327	3.54***
λ₃ tau persistence Long-term factor persistence	0.9634	91.02***

V-Lab

S&P MidCap 400 Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P MidCap 400 Index Analyses