CBOE Volatility Index

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CBOE DJIA 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	0.6983	7.62***
αARCH	0.0656	5.29***
βGARCH	0.8904	50.14***

γ₁	0.0000	0.00
γ₂	-0.0024	-0.17
γ₃	-0.0117	-1.15
γ₄	0.0365	3.37***
γ₅	-0.0697	-4.55***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6983	7.62***
α ARCH Response to squared shocks	0.0656	5.29***
β GARCH Volatility persistence	0.8904	50.14***

γ₁	0.0000	0.00
γ₂	-0.0024	-0.17
γ₃	-0.0117	-1.15
γ₄	0.0365	3.37***
γ₅	-0.0697	-4.55***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Nickel Spot Index Analyses