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
ωconst	1.0966	5.66***
αARCH	0.0496	6.41***
βGARCH	0.9231	77.80***

γ₁	0.0487	2.07**
γ₂	-0.0804	-2.34**
γ₃	0.0790	3.65***
γ₄	-0.1070	-6.26***
γ₅	0.0932	5.84***
γ₆	-0.0395	-2.57**
γ₇	0.0068	0.60

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0966	5.66***
α ARCH Response to squared shocks	0.0496	6.41***
β GARCH Volatility persistence	0.9231	77.80***

γ₁	0.0487	2.07**
γ₂	-0.0804	-2.34**
γ₃	0.0790	3.65***
γ₄	-0.1070	-6.26***
γ₅	0.0932	5.84***
γ₆	-0.0395	-2.57**
γ₇	0.0068	0.60

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Copper Spot Index Analyses