CBOE Crude Oil Volatility Index

CBOE Energy ETF Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

CBOE S&P 500 6-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	0.7597	4.42***
αARCH	0.0554	7.94***
βGARCH	0.9275	112.50***

γ₁	0.0210	1.79*
γ₂	-0.0220	-1.35
γ₃	-0.0181	-1.74*
γ₄	0.0344	3.81***
γ₅	-0.0195	-3.13***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7597	4.42***
α ARCH Response to squared shocks	0.0554	7.94***
β GARCH Volatility persistence	0.9275	112.50***

γ₁	0.0210	1.79*
γ₂	-0.0220	-1.35
γ₃	-0.0181	-1.74*
γ₄	0.0344	3.81***
γ₅	-0.0195	-3.13***

V-Lab

S&P GSCI Light Energy Spot Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Light Energy Spot Index Analyses