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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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	0.7689	5.84***
αARCH	0.1349	7.24***
βGARCH	0.6913	16.49***

γ₁	0.0206	2.35**
γ₂	-0.0383	-3.29***
γ₃	0.0222	4.12***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7689	5.84***
α ARCH Response to squared shocks	0.1349	7.24***
β GARCH Volatility persistence	0.6913	16.49***

γ₁	0.0206	2.35**
γ₂	-0.0383	-3.29***
γ₃	0.0222	4.12***

V-Lab

CBOE S&P 500 Spot Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 Spot Volatility Index Analyses