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	4.2039	1.56
αARCH	0.0390	10.56***
βGARCH	0.9929	203.55***
νDF	5.5565	2.05**

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.2039	1.56
α ARCH Response to squared shocks	0.0390	10.56***
β GARCH Volatility persistence	0.9929	203.55***
ν DF Student-t tail thickness	5.5565	2.05**

V-Lab

S&P GSCI Nickel Spot Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Nickel Spot Index Analyses