CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	0.0268	8.65***
αARCH	0.0851	11.84***
βGARCH	0.9124	126.26***
γleverage	0.6175	10.50***
δpower	0.9570	9.08***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0268	8.65***
α ARCH Response to squared shocks	0.0851	11.84***
β GARCH Volatility persistence	0.9124	126.26***
γ leverage Additional response to negative shocks	0.6175	10.50***
δ power Transformation power	0.9570	9.08***

V-Lab

S&P SmallCap 600 Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P SmallCap 600 Index Analyses