CBOE Crude Oil Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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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	126
α ARCH Response to squared shocks	0.0574	20.14***
β GARCH Volatility persistence	0.8939	311.80***
γ leverage Additional response to negative shocks	0.0456	12.96***
λ₁ tau intercept Baseline long-term coefficient	0.0280	11.14***
λ₂ forecast adj. Forecast performance sensitivity	0.0411	11.73***
λ₃ tau persistence Long-term factor persistence	0.9539	238.72***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Crude Oil Index Analyses