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

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	0.6530	2.92***
αARCH	0.0857	5.81***
βGARCH	0.8632	32.71***

γ₁	-0.1177	-1.57
γ₂	0.0315	0.26
γ₃	0.2238	2.33**
γ₄	-0.2730	-3.57***
γ₅	0.2612	3.63***
γ₆	-0.2297	-3.85***
γ₇	0.1569	2.50**
γ₈	-0.0302	-0.45
γ₉	-0.0503	-1.05

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6530	2.92***
α ARCH Response to squared shocks	0.0857	5.81***
β GARCH Volatility persistence	0.8632	32.71***

γ₁	-0.1177	-1.57
γ₂	0.0315	0.26
γ₃	0.2238	2.33**
γ₄	-0.2730	-3.57***
γ₅	0.2612	3.63***
γ₆	-0.2297	-3.85***
γ₇	0.1569	2.50**
γ₈	-0.0302	-0.45
γ₉	-0.0503	-1.05

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