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

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month 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
mwindow	101
αARCH	0.0416	5.64***
βGARCH	0.9435	94.69***
γleverage	-0.0290	-3.69***
λ₁tau intercept	0.3508	2.92***
λ₂forecast adj.	0.9159	18.91***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.0416	5.64***
β GARCH Volatility persistence	0.9435	94.69***
γ leverage Additional response to negative shocks	-0.0290	-3.69***
λ₁ tau intercept Baseline long-term coefficient	0.3508	2.92***
λ₂ forecast adj. Forecast performance sensitivity	0.9159	18.91***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

S&P GSCI Cocoa Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Cocoa Index Analyses