CBOE Crude Oil Volatility Index

CBOE Energy ETF Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

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CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

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	41
α ARCH Response to squared shocks	0.0593	13.68***
β GARCH Volatility persistence	0.8649	122.16***
γ leverage Additional response to negative shocks	0.0557	9.19***
λ₁ tau intercept Baseline long-term coefficient	0.0217	6.94***
λ₂ forecast adj. Forecast performance sensitivity	0.0244	5.12***
λ₃ tau persistence Long-term factor persistence	0.9710	181.10***

V-Lab

S&P GSCI Brent Crude Oil Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Brent Crude Oil Index Analyses