CBOE Volatility Index

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CBOE DJIA Volatility Index

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How volatility evolves over time

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{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	0.0158	3.24***
αARCH	0.0297	6.75***
βGARCH	0.9665	229.47***
γleverage	-0.0072	-0.14
δpower	1.9568	9.87***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0158	3.24***
α ARCH Response to squared shocks	0.0297	6.75***
β GARCH Volatility persistence	0.9665	229.47***
γ leverage Additional response to negative shocks	-0.0072	-0.14
δ power Transformation power	1.9568	9.87***

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S&P GSCI Sugar Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Sugar Index Analyses