CBOE Energy ETF Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month 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	0.6863	5.54***
αARCH	0.0586	8.82***
βGARCH	0.9182	113.25***

γ₁	-0.0044	-2.25**
γ₂	0.0053	2.27**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6863	5.54***
α ARCH Response to squared shocks	0.0586	8.82***
β GARCH Volatility persistence	0.9182	113.25***

γ₁	-0.0044	-2.25**
γ₂	0.0053	2.27**

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S&P GSCI Biofuel Spot Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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