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

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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
ωconst	2.8398	4.22***
αARCH	0.2652	10.99***
βGARCH	0.5277	14.91***

γ₁	0.0955	2.11**
γ₂	-0.0529	-0.88
γ₃	-0.0810	-1.91*
γ₄	0.1248	2.82***
γ₅	-0.1999	-5.23***
γ₆	0.2104	5.69***
γ₇	-0.1319	-3.95***
γ₈	-0.0173	-0.55
γ₉	0.1286	4.06***
γ₁₀	-0.1101	-4.71***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.8398	4.22***
α ARCH Response to squared shocks	0.2652	10.99***
β GARCH Volatility persistence	0.5277	14.91***

γ₁	0.0955	2.11**
γ₂	-0.0529	-0.88
γ₃	-0.0810	-1.91*
γ₄	0.1248	2.82***
γ₅	-0.1999	-5.23***
γ₆	0.2104	5.69***
γ₇	-0.1319	-3.95***
γ₈	-0.0173	-0.55
γ₉	0.1286	4.06***
γ₁₀	-0.1101	-4.71***

V-Lab

CBOE Skew Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Skew Index Analyses