CBOE Crude Oil Volatility Index

CBOE Energy ETF Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

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CBOE Skew Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0552	4.70***
β GARCH Volatility persistence	0.8637	39.37***
γ leverage Additional response to negative shocks	0.0204	1.50
λ₁ tau intercept Baseline long-term coefficient	0.0025	1.99**
λ₂ forecast adj. Forecast performance sensitivity	0.0486	4.00***
λ₃ tau persistence Long-term factor persistence	0.9485	73.53***

V-Lab

S&P GSCI Light Energy Spot Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Light Energy Spot Index Analyses