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	0.9573	6.44***
αARCH	0.0379	6.17***
βGARCH	0.9398	96.44***

γ₁	0.0009	0.04
γ₂	0.0463	1.35
γ₃	-0.1193	-5.71***
γ₄	0.1147	7.47***
γ₅	-0.0558	-3.05***
γ₆	-0.0184	-0.63

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9573	6.44***
α ARCH Response to squared shocks	0.0379	6.17***
β GARCH Volatility persistence	0.9398	96.44***

γ₁	0.0009	0.04
γ₂	0.0463	1.35
γ₃	-0.1193	-5.71***
γ₄	0.1147	7.47***
γ₅	-0.0558	-3.05***
γ₆	-0.0184	-0.63

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Lead Spot Index Analyses