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

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0858	9.94***
β GARCH Volatility persistence	0.7267	16.82***
γ leverage Additional response to negative shocks	-0.0789	-7.51***
λ₁ tau intercept Baseline long-term coefficient	0.5842	0.44
λ₂ forecast adj. Forecast performance sensitivity	0.3051	0.46
λ₃ tau persistence Long-term factor persistence	0.6460	0.85

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S&P GSCI Natural Gas Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Natural Gas Index Analyses