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
mwindow	96
αARCH	0.1941	5.27***
βGARCH	0.7082	11.53***
γleverage	-0.1330	-1.79*
λ₁tau intercept	4.7171	0.71
λ₂forecast adj.	0.2325	0.80
λ₃tau persistence	0.6127	1.23

Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.1941	5.27***
β GARCH Volatility persistence	0.7082	11.53***
γ leverage Additional response to negative shocks	-0.1330	-1.79*
λ₁ tau intercept Baseline long-term coefficient	4.7171	0.71
λ₂ forecast adj. Forecast performance sensitivity	0.2325	0.80
λ₃ tau persistence Long-term factor persistence	0.6127	1.23

V-Lab

CBOE Crude Oil Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Crude Oil Volatility Index Analyses