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

CBOE S&P 500 6-Month 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
ωconst	0.8919	10.19***
αARCH	0.0696	5.92***
βGARCH	0.8434	26.58***

γ₁	-0.0003	-0.01
γ₂	0.0184	0.45
γ₃	-0.0555	-1.31
γ₄	0.0672	1.09
γ₅	-0.0796	-1.23
γ₆	0.1024	2.03**
γ₇	-0.0757	-1.70*
γ₈	0.0520	1.20
γ₉	-0.0500	-1.68*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8919	10.19***
α ARCH Response to squared shocks	0.0696	5.92***
β GARCH Volatility persistence	0.8434	26.58***

γ₁	-0.0003	-0.01
γ₂	0.0184	0.45
γ₃	-0.0555	-1.31
γ₄	0.0672	1.09
γ₅	-0.0796	-1.23
γ₆	0.1024	2.03**
γ₇	-0.0757	-1.70*
γ₈	0.0520	1.20
γ₉	-0.0500	-1.68*

V-Lab

Merck & Co Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Merck & Co Inc Analyses