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

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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	0.7530	5.20***
αARCH	0.0708	7.55***
βGARCH	0.9121	91.71***

γ₁	0.0200	2.86***
γ₂	-0.0396	-4.06***
γ₃	0.0304	5.03***
γ₄	-0.0137	-3.09***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7530	5.20***
α ARCH Response to squared shocks	0.0708	7.55***
β GARCH Volatility persistence	0.9121	91.71***

γ₁	0.0200	2.86***
γ₂	-0.0396	-4.06***
γ₃	0.0304	5.03***
γ₄	-0.0137	-3.09***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Spot Index Analyses