CBOE Crude Oil 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

CBOE 3-Month Volatility Index

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 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	6.4019	1.56
αARCH	0.0632	13.33***
βGARCH	0.9939	246.92***
νDF	7.2380	2.01**

Parameter	Value	t-statistic
ω const Unconditional variance weight	6.4019	1.56
α ARCH Response to squared shocks	0.0632	13.33***
β GARCH Volatility persistence	0.9939	246.92***
ν DF Student-t tail thickness	7.2380	2.01**

V-Lab

S&P GSCI Crude Oil Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Crude Oil Index Analyses