CBOE Crude Oil Volatility Index

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CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE Skew Index

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	0.0046	4.48***
αARCH	0.0567	9.11***
βGARCH	0.9433	156.77***
γleverage	0.0212	0.47
δpower	1.7494	8.85***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0046	4.48***
α ARCH Response to squared shocks	0.0567	9.11***
β GARCH Volatility persistence	0.9433	156.77***
γ leverage Additional response to negative shocks	0.0212	0.47
δ power Transformation power	1.7494	8.85***

V-Lab

S&P GSCI Light Energy Spot Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Light Energy Spot Index Analyses