CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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CBOE Skew Index

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	0.0451	6.48***
αARCH	0.1703	15.69***
βGARCH	0.8114	65.54***
γleverage	0.1431	6.48***
δpower	0.7369	4.45***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0451	6.48***
α ARCH Response to squared shocks	0.1703	15.69***
β GARCH Volatility persistence	0.8114	65.54***
γ leverage Additional response to negative shocks	0.1431	6.48***
δ power Transformation power	0.7369	4.45***

V-Lab

Merck & Co Inc Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Merck & Co Inc Analyses