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

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CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

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	126
α ARCH Response to squared shocks	0.0511	17.93***
β GARCH Volatility persistence	0.9006	290.62***
γ leverage Additional response to negative shocks	0.0416	12.55***
λ₁ tau intercept Baseline long-term coefficient	0.0204	9.75***
λ₂ forecast adj. Forecast performance sensitivity	0.0359	11.64***
λ₃ tau persistence Long-term factor persistence	0.9596	269.70***

V-Lab

S&P GSCI Petroleum Spot Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Petroleum Spot Index Analyses