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	0.5221	5.79***
αARCH	0.1183	9.55***
βGARCH	0.8537	62.56***

γ₁	-0.0431	-3.82***
γ₂	0.0622	3.85***
γ₃	-0.0251	-3.30***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5221	5.79***
α ARCH Response to squared shocks	0.1183	9.55***
β GARCH Volatility persistence	0.8537	62.56***

γ₁	-0.0431	-3.82***
γ₂	0.0622	3.85***
γ₃	-0.0251	-3.30***

V-Lab

Russell Midcap Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Russell Midcap Index Analyses