CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

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CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{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	5.0689	2.10**
αARCH	0.0718	8.59***
βGARCH	0.9928	237.17***
νDF	12.2841	0.89

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0689	2.10**
α ARCH Response to squared shocks	0.0718	8.59***
β GARCH Volatility persistence	0.9928	237.17***
ν DF Student-t tail thickness	12.2841	0.89

V-Lab

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Date Range:

News Impact Curve

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Parameter Estimates

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