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

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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	0.9811	6.15***
αARCH	0.0374	6.46***
βGARCH	0.9440	110.34***

γ₁	0.0022	0.09
γ₂	0.0446	1.22
γ₃	-0.1207	-5.35***
γ₄	0.1242	7.76***
γ₅	-0.0825	-5.35***
γ₆	0.0497	4.19***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9811	6.15***
α ARCH Response to squared shocks	0.0374	6.46***
β GARCH Volatility persistence	0.9440	110.34***

γ₁	0.0022	0.09
γ₂	0.0446	1.22
γ₃	-0.1207	-5.35***
γ₄	0.1242	7.76***
γ₅	-0.0825	-5.35***
γ₆	0.0497	4.19***

V-Lab

S&P GSCI Lead Spot Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Lead Spot Index Analyses