CBOE Volatility Index

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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

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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	41
αARCH	0.0039
βGARCH	0.7753
γleverage	0.4413
λ₁tau intercept	2.6429
λ₂forecast adj.	0.0439
λ₃tau persistence	0.8832

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0039
β GARCH Volatility persistence	0.7753
γ leverage Additional response to negative shocks	0.4413
λ₁ tau intercept Baseline long-term coefficient	2.6429
λ₂ forecast adj. Forecast performance sensitivity	0.0439
λ₃ tau persistence Long-term factor persistence	0.8832

V-Lab

MD Sass Concentrated Value ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MD Sass Concentrated Value ETF Analyses