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	0.1829	1.66*
αARCH	0.0912	1.77*
βGARCH	0.7388	5.24***
γleverage	-0.1515	-0.44

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1829	1.66*
α ARCH Response to squared shocks	0.0912	1.77*
β GARCH Volatility persistence	0.7388	5.24***
γ leverage Additional response to negative shocks	-0.1515	-0.44

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Date Range:

News Impact Curve

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Parameter Estimates

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