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	0.1929	5.25***
βGARCH	0.7104	11.74***
γleverage	-0.1316	-1.77*
λ₁tau intercept	4.8959	0.70
λ₂forecast adj.	0.2377	0.78
λ₃tau persistence	0.6011	1.13

Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.1929	5.25***
β GARCH Volatility persistence	0.7104	11.74***
γ leverage Additional response to negative shocks	-0.1316	-1.77*
λ₁ tau intercept Baseline long-term coefficient	4.8959	0.70
λ₂ forecast adj. Forecast performance sensitivity	0.2377	0.78
λ₃ tau persistence Long-term factor persistence	0.6011	1.13

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