CBOE Volatility Index

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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

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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	-0.0237	-0.46
αARCH	0.1329	1.64
βGARCH	0.9442	20.75***
γleverage	-0.0619	-0.71

Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0237	-0.46
α ARCH Response to squared shocks	0.1329	1.64
β GARCH Volatility persistence	0.9442	20.75***
γ leverage Additional response to negative shocks	-0.0619	-0.71

V-Lab

Invesco QQQ LOW Vltility ETF EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco QQQ LOW Vltility ETF Analyses