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	0.6531	2.92***
αARCH	0.0859	5.81***
βGARCH	0.8628	32.53***

γ₁	-0.1179	-1.58
γ₂	0.0325	0.27
γ₃	0.2225	2.32**
γ₄	-0.2720	-3.55***
γ₅	0.2611	3.59***
γ₆	-0.2313	-3.85***
γ₇	0.1612	2.60***
γ₈	-0.0374	-0.56
γ₉	-0.0434	-0.92

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6531	2.92***
α ARCH Response to squared shocks	0.0859	5.81***
β GARCH Volatility persistence	0.8628	32.53***

γ₁	-0.1179	-1.58
γ₂	0.0325	0.27
γ₃	0.2225	2.32**
γ₄	-0.2720	-3.55***
γ₅	0.2611	3.59***
γ₆	-0.2313	-3.85***
γ₇	0.1612	2.60***
γ₈	-0.0374	-0.56
γ₉	-0.0434	-0.92

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