CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{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	1.1221	5.78***
αARCH	0.0498	6.35***
βGARCH	0.9223	76.43***

γ₁	0.0537	2.31**
γ₂	-0.0884	-2.61***
γ₃	0.0843	3.95***
γ₄	-0.1107	-6.53***
γ₅	0.0940	5.82***
γ₆	-0.0351	-1.98**
γ₇	-0.0094	-0.30

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1221	5.78***
α ARCH Response to squared shocks	0.0498	6.35***
β GARCH Volatility persistence	0.9223	76.43***

γ₁	0.0537	2.31**
γ₂	-0.0884	-2.61***
γ₃	0.0843	3.95***
γ₄	-0.1107	-6.53***
γ₅	0.0940	5.82***
γ₆	-0.0351	-1.98**
γ₇	-0.0094	-0.30

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Copper Spot Index Analyses