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
ωconst	18.0030	2.40**
αARCH	0.0715	5.61***
βGARCH	0.9554	48.35***
νDF	4.0819	2.20**

Parameter	Value	t-statistic
ω const Unconditional variance weight	18.0030	2.40**
α ARCH Response to squared shocks	0.0715	5.61***
β GARCH Volatility persistence	0.9554	48.35***
ν DF Student-t tail thickness	4.0819	2.20**

V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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