CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	0.9326	3.60***
αARCH	0.0525	3.70***
βGARCH	0.9382	62.20***

γ₁	-0.0164	-1.22
γ₂	0.0316	1.72*
γ₃	-0.0228	-2.93***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9326	3.60***
α ARCH Response to squared shocks	0.0525	3.70***
β GARCH Volatility persistence	0.9382	62.20***

γ₁	-0.0164	-1.22
γ₂	0.0316	1.72*
γ₃	-0.0228	-2.93***

V-Lab

NYMEX Platinum Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NYMEX Platinum Analyses