CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	0.7652	9.86***
αARCH	0.0597	10.10***
βGARCH	0.9208	122.91***

γ₁	0.0045	1.73*
γ₂	-0.0110	-2.75***
γ₃	0.0093	4.23***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7652	9.86***
α ARCH Response to squared shocks	0.0597	10.10***
β GARCH Volatility persistence	0.9208	122.91***

γ₁	0.0045	1.73*
γ₂	-0.0110	-2.75***
γ₃	0.0093	4.23***

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