CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	4.9065	2.56**
αARCH	0.0448	8.06***
βGARCH	0.9846	159.71***
νDF	6.0289	1.49

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.9065	2.56**
α ARCH Response to squared shocks	0.0448	8.06***
β GARCH Volatility persistence	0.9846	159.71***
ν DF Student-t tail thickness	6.0289	1.49

V-Lab

S&P GSCI Coffee Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Coffee Index Analyses