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
ωconst	0.9500	5.35***
αARCH	0.0484	8.24***
βGARCH	0.9378	115.59***

γ₁	0.0118	2.82***
γ₂	-0.0227	-3.59***
γ₃	0.0206	3.77***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9500	5.35***
α ARCH Response to squared shocks	0.0484	8.24***
β GARCH Volatility persistence	0.9378	115.59***

γ₁	0.0118	2.82***
γ₂	-0.0227	-3.59***
γ₃	0.0206	3.77***

V-Lab

S&P GSCI Industrial Metals Spot Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Industrial Metals Spot Index Analyses