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

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CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{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	0.4904	4.99***
αARCH	0.1118	9.89***
βGARCH	0.8582	67.89***

γ₁	-0.0693	-4.21***
γ₂	0.0967	4.24***
γ₃	-0.0490	-3.45***
γ₄	0.0434	2.88***
γ₅	-0.0312	-2.74***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4904	4.99***
α ARCH Response to squared shocks	0.1118	9.89***
β GARCH Volatility persistence	0.8582	67.89***

γ₁	-0.0693	-4.21***
γ₂	0.0967	4.24***
γ₃	-0.0490	-3.45***
γ₄	0.0434	2.88***
γ₅	-0.0312	-2.74***

V-Lab

S&P Composite 1500 Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P Composite 1500 Index Analyses