CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

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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	1.4177	7.44***
αARCH	0.1011	10.11***
βGARCH	0.8664	74.00***

γ₁	0.0870	6.58***
γ₂	-0.1399	-6.50***
γ₃	0.0835	5.23***
γ₄	-0.0537	-3.77***
γ₅	0.0531	2.97***
γ₆	-0.0634	-2.30**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4177	7.44***
α ARCH Response to squared shocks	0.1011	10.11***
β GARCH Volatility persistence	0.8664	74.00***

γ₁	0.0870	6.58***
γ₂	-0.1399	-6.50***
γ₃	0.0835	5.23***
γ₄	-0.0537	-3.77***
γ₅	0.0531	2.97***
γ₆	-0.0634	-2.30**

V-Lab

S&P 100 Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P 100 Index Analyses