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	0.9796	7.48***
αARCH	0.1029	10.53***
βGARCH	0.8629	74.58***

γ₁	0.0540	4.01***
γ₂	-0.0834	-3.94***
γ₃	0.0472	3.33***
γ₄	-0.0431	-3.51***
γ₅	0.0627	4.27***
γ₆	-0.0826	-3.57***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9796	7.48***
α ARCH Response to squared shocks	0.1029	10.53***
β GARCH Volatility persistence	0.8629	74.58***

γ₁	0.0540	4.01***
γ₂	-0.0834	-3.94***
γ₃	0.0472	3.33***
γ₄	-0.0431	-3.51***
γ₅	0.0627	4.27***
γ₆	-0.0826	-3.57***

V-Lab

S&P MidCap 400 Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P MidCap 400 Index Analyses