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

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

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
mwindow	71
αARCH	0.1815	6.19***
βGARCH	0.7684	25.52***
γleverage	-0.1815	-5.57***
λ₁tau intercept	0.7297	0.91
λ₂forecast adj.	0.0181	1.12
λ₃tau persistence	0.9576	23.02***

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.1815	6.19***
β GARCH Volatility persistence	0.7684	25.52***
γ leverage Additional response to negative shocks	-0.1815	-5.57***
λ₁ tau intercept Baseline long-term coefficient	0.7297	0.91
λ₂ forecast adj. Forecast performance sensitivity	0.0181	1.12
λ₃ tau persistence Long-term factor persistence	0.9576	23.02***

V-Lab

CBOE Russell 2000 Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Russell 2000 Volatility Index Analyses