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

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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	0.6534	2.91***
αARCH	0.0859	5.82***
βGARCH	0.8629	32.69***

γ₁	-0.1189	-1.60
γ₂	0.0350	0.29
γ₃	0.2193	2.29**
γ₄	-0.2696	-3.49***
γ₅	0.2602	3.49***
γ₆	-0.2335	-3.82***
γ₇	0.1679	2.77***
γ₈	-0.0473	-0.73
γ₉	-0.0355	-0.76

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6534	2.91***
α ARCH Response to squared shocks	0.0859	5.82***
β GARCH Volatility persistence	0.8629	32.69***

γ₁	-0.1189	-1.60
γ₂	0.0350	0.29
γ₃	0.2193	2.29**
γ₄	-0.2696	-3.49***
γ₅	0.2602	3.49***
γ₆	-0.2335	-3.82***
γ₇	0.1679	2.77***
γ₈	-0.0473	-0.73
γ₉	-0.0355	-0.76

V-Lab

CBOT Rough Rice Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOT Rough Rice Analyses