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
ωconst	0.8786	10.15***
αARCH	0.0680	5.81***
βGARCH	0.8449	26.50***

γ₁	-0.0038	-0.15
γ₂	0.0234	0.58
γ₃	-0.0577	-1.37
γ₄	0.0684	1.11
γ₅	-0.0803	-1.25
γ₆	0.1027	2.06**
γ₇	-0.0757	-1.71*
γ₈	0.0519	1.21
γ₉	-0.0501	-1.69*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8786	10.15***
α ARCH Response to squared shocks	0.0680	5.81***
β GARCH Volatility persistence	0.8449	26.50***

γ₁	-0.0038	-0.15
γ₂	0.0234	0.58
γ₃	-0.0577	-1.37
γ₄	0.0684	1.11
γ₅	-0.0803	-1.25
γ₆	0.1027	2.06**
γ₇	-0.0757	-1.71*
γ₈	0.0519	1.21
γ₉	-0.0501	-1.69*

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