CBOE 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	0.7687	8.66***
αARCH	0.0454	7.02***
βGARCH	0.9359	102.61***

γ₁	-0.0051	-3.14***
γ₂	0.0103	3.48***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7687	8.66***
α ARCH Response to squared shocks	0.0454	7.02***
β GARCH Volatility persistence	0.9359	102.61***

γ₁	-0.0051	-3.14***
γ₂	0.0103	3.48***

V-Lab

S&P GSCI Softs Spot Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Softs Spot Index Analyses