CBOE Volatility Index

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CBOE DJIA 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	1.0000	1.44
αARCH	0.0890	3.68***
βGARCH	0.8616	41.43***
γleverage	-0.3237	-1.32
δpower	1.7106	5.12***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	1.44
α ARCH Response to squared shocks	0.0890	3.68***
β GARCH Volatility persistence	0.8616	41.43***
γ leverage Additional response to negative shocks	-0.3237	-1.32
δ power Transformation power	1.7106	5.12***

V-Lab

CBOE Crude Oil Volatility Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Crude Oil Volatility Index Analyses