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	1.1025	5.69***
αARCH	0.0500	6.37***
βGARCH	0.9219	76.28***

γ₁	0.0498	2.13**
γ₂	-0.0820	-2.40**
γ₃	0.0798	3.71***
γ₄	-0.1079	-6.37***
γ₅	0.0936	5.93***
γ₆	-0.0392	-2.57**
γ₇	0.0063	0.55

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1025	5.69***
α ARCH Response to squared shocks	0.0500	6.37***
β GARCH Volatility persistence	0.9219	76.28***

γ₁	0.0498	2.13**
γ₂	-0.0820	-2.40**
γ₃	0.0798	3.71***
γ₄	-0.1079	-6.37***
γ₅	0.0936	5.93***
γ₆	-0.0392	-2.57**
γ₇	0.0063	0.55

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