CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	1.3302	7.85***
αARCH	0.0951	9.97***
βGARCH	0.8732	77.06***

γ₁	0.0815	6.47***
γ₂	-0.1307	-6.40***
γ₃	0.0773	5.20***
γ₄	-0.0514	-3.87***
γ₅	0.0519	3.09***
γ₆	-0.0612	-2.36**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3302	7.85***
α ARCH Response to squared shocks	0.0951	9.97***
β GARCH Volatility persistence	0.8732	77.06***

γ₁	0.0815	6.47***
γ₂	-0.1307	-6.40***
γ₃	0.0773	5.20***
γ₄	-0.0514	-3.87***
γ₅	0.0519	3.09***
γ₆	-0.0612	-2.36**

V-Lab

MSCI USA Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MSCI USA Analyses