CBOE 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	2.0316	7.76***
αARCH	0.1059	9.81***
βGARCH	0.8666	69.89***

γ₁	0.0542	5.32***
γ₂	-0.0738	-4.49***
γ₃	0.0415	2.94***
γ₄	-0.0337	-3.39***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0316	7.76***
α ARCH Response to squared shocks	0.1059	9.81***
β GARCH Volatility persistence	0.8666	69.89***

γ₁	0.0542	5.32***
γ₂	-0.0738	-4.49***
γ₃	0.0415	2.94***
γ₄	-0.0337	-3.39***

V-Lab

Russell 1000 Growth Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Russell 1000 Growth Index Analyses