CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 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	0.8618	5.96***
αARCH	0.1298	8.73***
βGARCH	0.8336	48.09***

γ₁	-0.0324	-2.68***
γ₂	0.0618	3.14***
γ₃	-0.0545	-2.46**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8618	5.96***
α ARCH Response to squared shocks	0.1298	8.73***
β GARCH Volatility persistence	0.8336	48.09***

γ₁	-0.0324	-2.68***
γ₂	0.0618	3.14***
γ₃	-0.0545	-2.46**

V-Lab

S&P Total Market Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P Total Market Index Analyses