CBOE Volatility Index

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CBOE DJIA 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
ωconst	0.0125	4.28***
αARCH	0.0132	2.04**
βGARCH	0.9451	154.94***
γleverage	0.0569	3.82***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0125	4.28***
α ARCH Response to squared shocks	0.0132	2.04**
β GARCH Volatility persistence	0.9451	154.94***
γ leverage Additional response to negative shocks	0.0569	3.82***

V-Lab

S&P GSCI All Cattle Spot Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI All Cattle Spot Index Analyses