CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.2577	2.76***
αARCH	0.0948	3.93***
βGARCH	0.8672	36.22***
γleverage	-0.3333	-1.87*
δpower	1.6288	4.58***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2577	2.76***
α ARCH Response to squared shocks	0.0948	3.93***
β GARCH Volatility persistence	0.8672	36.22***
γ leverage Additional response to negative shocks	-0.3333	-1.87*
δ power Transformation power	1.6288	4.58***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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