CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month Volatility Index

CBOE 1-Day 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	1.1254	7.11***
αARCH	0.0968	9.15***
βGARCH	0.8678	66.25***

γ₁	-0.2377	-6.64***
γ₂	0.3932	7.40***
γ₃	-0.2369	-6.23***
γ₄	0.1190	2.95***
γ₅	-0.0211	-0.48
γ₆	-0.0351	-0.83
γ₇	0.0190	0.63

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1254	7.11***
α ARCH Response to squared shocks	0.0968	9.15***
β GARCH Volatility persistence	0.8678	66.25***

γ₁	-0.2377	-6.64***
γ₂	0.3932	7.40***
γ₃	-0.2369	-6.23***
γ₄	0.1190	2.95***
γ₅	-0.0211	-0.48
γ₆	-0.0351	-0.83
γ₇	0.0190	0.63

V-Lab

Invesco QQQ Trust Series 1 Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco QQQ Trust Series 1 Analyses