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	2.2999	4.64***
αARCH	0.1690	5.02***
βGARCH	0.7371	18.89***

γ₁	0.2251	2.40**
γ₂	-0.3630	-2.62***
γ₃	0.2882	3.55***
γ₄	-0.1994	-2.57**
γ₅	0.0026	0.03
γ₆	0.0801	1.38

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2999	4.64***
α ARCH Response to squared shocks	0.1690	5.02***
β GARCH Volatility persistence	0.7371	18.89***

γ₁	0.2251	2.40**
γ₂	-0.3630	-2.62***
γ₃	0.2882	3.55***
γ₄	-0.1994	-2.57**
γ₅	0.0026	0.03
γ₆	0.0801	1.38

V-Lab

ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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