CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month 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	2.1302	4.94***
αARCH	0.1766	4.80***
βGARCH	0.6899	15.59***

γ₁	0.1966	1.70*
γ₂	-0.1529	-0.86
γ₃	-0.2319	-1.32
γ₄	0.4930	2.73***
γ₅	-0.4806	-2.94***
γ₆	0.2701	1.68*
γ₇	-0.3530	-2.30**
γ₈	0.8965	4.89***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1302	4.94***
α ARCH Response to squared shocks	0.1766	4.80***
β GARCH Volatility persistence	0.6899	15.59***

γ₁	0.1966	1.70*
γ₂	-0.1529	-0.86
γ₃	-0.2319	-1.32
γ₄	0.4930	2.73***
γ₅	-0.4806	-2.94***
γ₆	0.2701	1.68*
γ₇	-0.3530	-2.30**
γ₈	0.8965	4.89***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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