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	2.1952	1.54
αARCH	0.0519	7.10***
βGARCH	0.9891	154.78***
νDF	6.4871	1.25

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1952	1.54
α ARCH Response to squared shocks	0.0519	7.10***
β GARCH Volatility persistence	0.9891	154.78***
ν DF Student-t tail thickness	6.4871	1.25

V-Lab

CBOT Soybeans GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOT Soybeans Analyses