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

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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	0.0151	2.38**
αARCH	0.0239	3.59***
βGARCH	0.9732	208.93***
γleverage	0.0013	0.12

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0151	2.38**
α ARCH Response to squared shocks	0.0239	3.59***
β GARCH Volatility persistence	0.9732	208.93***
γ leverage Additional response to negative shocks	0.0013	0.12

V-Lab

ICE US Orange Juice GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE US Orange Juice Analyses