CBOE Volatility Index

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CBOE DJIA 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	0.0252	8.13***
αARCH	0.0749	1.29
βGARCH	0.9089	99.40***
γleverage	1.0000	0.80
δpower	1.1861	10.35***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0252	8.13***
α ARCH Response to squared shocks	0.0749	1.29
β GARCH Volatility persistence	0.9089	99.40***
γ leverage Additional response to negative shocks	1.0000	0.80
δ power Transformation power	1.1861	10.35***

V-Lab

Russell 1000 Value Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Russell 1000 Value Index Analyses