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
mwindow	21
αARCH	0.0683	4.04***
βGARCH	0.6884	13.11***
γleverage	0.0260	1.29
λ₁tau intercept	0.0047	1.91*
λ₂forecast adj.	0.0261	5.47***
λ₃tau persistence	0.9723	187.45***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0683	4.04***
β GARCH Volatility persistence	0.6884	13.11***
γ leverage Additional response to negative shocks	0.0260	1.29
λ₁ tau intercept Baseline long-term coefficient	0.0047	1.91*
λ₂ forecast adj. Forecast performance sensitivity	0.0261	5.47***
λ₃ tau persistence Long-term factor persistence	0.9723	187.45***

V-Lab

S&P GSCI Lead Spot Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Lead Spot Index Analyses