CBOE 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	1.4165	7.32***
αARCH	0.1009	10.21***
βGARCH	0.8679	75.38***

γ₁	0.0850	6.32***
γ₂	-0.1362	-6.20***
γ₃	0.0795	4.88***
γ₄	-0.0475	-3.35***
γ₅	0.0405	2.55**
γ₆	-0.0322	-2.60***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4165	7.32***
α ARCH Response to squared shocks	0.1009	10.21***
β GARCH Volatility persistence	0.8679	75.38***

γ₁	0.0850	6.32***
γ₂	-0.1362	-6.20***
γ₃	0.0795	4.88***
γ₄	-0.0475	-3.35***
γ₅	0.0405	2.55**
γ₆	-0.0322	-2.60***

V-Lab

S&P 100 Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P 100 Index Analyses