CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

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CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{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	1.2048	5.24***
αARCH	0.0483	7.33***
βGARCH	0.9263	83.69***

γ₁	0.0647	3.08***
γ₂	-0.0895	-3.00***
γ₃	0.0646	3.50***
γ₄	-0.0965	-6.05***
γ₅	0.0778	5.01***
γ₆	-0.0057	-0.33
γ₇	-0.0539	-1.72*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2048	5.24***
α ARCH Response to squared shocks	0.0483	7.33***
β GARCH Volatility persistence	0.9263	83.69***

γ₁	0.0647	3.08***
γ₂	-0.0895	-3.00***
γ₃	0.0646	3.50***
γ₄	-0.0965	-6.05***
γ₅	0.0778	5.01***
γ₆	-0.0057	-0.33
γ₇	-0.0539	-1.72*

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