CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 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	-0.0025	-0.83
αARCH	0.0950	9.40***
βGARCH	0.9818	328.70***
γleverage	-0.0329	-3.77***

Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0025	-0.83
α ARCH Response to squared shocks	0.0950	9.40***
β GARCH Volatility persistence	0.9818	328.70***
γ leverage Additional response to negative shocks	-0.0329	-3.77***

V-Lab

S&P GSCI Livestock Spot Index EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Livestock Spot Index Analyses