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

How illiquidity evolves over time

{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
mwindow	81
αARCH	0.0169	1.67*
βGARCH	0.9076	50.00***
γleverage	0.0576	3.67***
λ₁tau intercept	0.0024	0.56
λ₂forecast adj.	0.0036	1.03
λ₃tau persistence	0.9956	200.80***

Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0169	1.67*
β GARCH Volatility persistence	0.9076	50.00***
γ leverage Additional response to negative shocks	0.0576	3.67***
λ₁ tau intercept Baseline long-term coefficient	0.0024	0.56
λ₂ forecast adj. Forecast performance sensitivity	0.0036	1.03
λ₃ tau persistence Long-term factor persistence	0.9956	200.80***

V-Lab

Merck & Co Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Merck & Co Inc Analyses