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

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CBOE Skew Index

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	0.0382	8.30***
αARCH	0.2053	11.78***
βGARCH	0.7730	45.39***
γleverage	0.2812	6.68***
δpower	1.2273	6.05***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0382	8.30***
α ARCH Response to squared shocks	0.2053	11.78***
β GARCH Volatility persistence	0.7730	45.39***
γ leverage Additional response to negative shocks	0.2812	6.68***
δ power Transformation power	1.2273	6.05***

V-Lab

Russell Midcap Index Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Russell Midcap Index Analyses