CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE Skew Index

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	3.0845	1.50
αARCH	0.0324	12.23***
βGARCH	0.9976	644.01***
νDF	6.9729	2.22**

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.0845	1.50
α ARCH Response to squared shocks	0.0324	12.23***
β GARCH Volatility persistence	0.9976	644.01***
ν DF Student-t tail thickness	6.9729	2.22**

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Lead Spot Index Analyses