CBOE Energy ETF Volatility Index

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CBOE NASDAQ-100 Volatility Index

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CBOE Skew Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0503	4.92***
β GARCH Volatility persistence	0.8090	23.04***
γ leverage Additional response to negative shocks	0.0189	1.34
λ₁ tau intercept Baseline long-term coefficient	0.0283	2.42**
λ₂ forecast adj. Forecast performance sensitivity	0.0722	3.39***
λ₃ tau persistence Long-term factor persistence	0.9077	32.11***

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S&P GSCI Biofuel Spot Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Biofuel Spot Index Analyses