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	1.4181	7.29***
αARCH	0.1011	10.24***
βGARCH	0.8680	75.67***

γ₁	0.0847	6.29***
γ₂	-0.1358	-6.18***
γ₃	0.0794	4.85***
γ₄	-0.0474	-3.32***
γ₅	0.0403	2.53**
γ₆	-0.0320	-2.59***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4181	7.29***
α ARCH Response to squared shocks	0.1011	10.24***
β GARCH Volatility persistence	0.8680	75.67***

γ₁	0.0847	6.29***
γ₂	-0.1358	-6.18***
γ₃	0.0794	4.85***
γ₄	-0.0474	-3.32***
γ₅	0.0403	2.53**
γ₆	-0.0320	-2.59***

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