CBOE Volatility Index

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CBOE DJIA 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	0.0640	4.71***
αARCH	0.1548	10.20***
βGARCH	0.8177	43.26***
γleverage	0.0181	0.54
δpower	1.3195	5.87***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0640	4.71***
α ARCH Response to squared shocks	0.1548	10.20***
β GARCH Volatility persistence	0.8177	43.26***
γ leverage Additional response to negative shocks	0.0181	0.54
δ power Transformation power	1.3195	5.87***

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S&P GSCI Zinc Index Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Zinc Index Analyses