CBOE Volatility Index

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CBOE DJIA 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
ωconst	0.7654	9.89***
αARCH	0.0600	10.13***
βGARCH	0.9204	122.66***

γ₁	0.0045	1.74*
γ₂	-0.0111	-2.79***
γ₃	0.0094	4.31***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7654	9.89***
α ARCH Response to squared shocks	0.0600	10.13***
β GARCH Volatility persistence	0.9204	122.66***

γ₁	0.0045	1.74*
γ₂	-0.0111	-2.79***
γ₃	0.0094	4.31***

V-Lab

S&P GSCI Grains Spot Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Grains Spot Index Analyses