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CBOE Volatility Index

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How volatility evolves over time

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{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	126
αARCH	0.0534	4.41***
βGARCH	0.8993	84.65***
γleverage	0.0451	3.18***
λ₁tau intercept	0.0216	0.86
λ₂forecast adj.	0.0344	1.27
λ₃tau persistence	0.9613	30.59***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0534	4.41***
β GARCH Volatility persistence	0.8993	84.65***
γ leverage Additional response to negative shocks	0.0451	3.18***
λ₁ tau intercept Baseline long-term coefficient	0.0216	0.86
λ₂ forecast adj. Forecast performance sensitivity	0.0344	1.27
λ₃ tau persistence Long-term factor persistence	0.9613	30.59***

V-Lab

S&P GSCI All Crude Spot Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI All Crude Spot Index Analyses