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CBOE NASDAQ-100 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
ω const Unconditional variance weight	0.0212	16.08***
α ARCH Response to squared shocks	0.1435	30.36***
β GARCH Volatility persistence	0.9849	1,147.88***
γ leverage Additional response to negative shocks	-0.0274	-7.36***

V-Lab

S&P GSCI Energy and Metals Spot Index EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Energy and Metals Spot Index Analyses