CBOE Crude Oil Volatility Index

CBOE Energy ETF Volatility Index

CBOE Silver ETF 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	0.6620	7.43***
αARCH	0.0691	7.19***
βGARCH	0.9112	81.00***

γ₁	-0.0165	-2.09**
γ₂	0.0091	0.76
γ₃	0.0255	2.68***
γ₄	-0.0442	-2.63***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6620	7.43***
α ARCH Response to squared shocks	0.0691	7.19***
β GARCH Volatility persistence	0.9112	81.00***

γ₁	-0.0165	-2.09**
γ₂	0.0091	0.76
γ₃	0.0255	2.68***
γ₄	-0.0442	-2.63***

V-Lab

S&P GSCI Energy and Metals Spot Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Energy and Metals Spot Index Analyses