CBOE Volatility Index

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CBOE DJIA 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	0.2238	2.46**
αARCH	0.0899	7.54***
βGARCH	0.8613	43.58***
γleverage	-1.4110	-3.74***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2238	2.46**
α ARCH Response to squared shocks	0.0899	7.54***
β GARCH Volatility persistence	0.8613	43.58***
γ leverage Additional response to negative shocks	-1.4110	-3.74***

V-Lab

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index Analyses