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	1.3487	7.29***
αARCH	0.1003	9.60***
βGARCH	0.8730	73.52***

γ₁	0.0775	5.60***
γ₂	-0.1149	-5.17***
γ₃	0.0571	3.52***
γ₄	-0.0403	-2.81***
γ₅	0.0411	2.67***
γ₆	-0.0284	-2.43**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3487	7.29***
α ARCH Response to squared shocks	0.1003	9.60***
β GARCH Volatility persistence	0.8730	73.52***

γ₁	0.0775	5.60***
γ₂	-0.1149	-5.17***
γ₃	0.0571	3.52***
γ₄	-0.0403	-2.81***
γ₅	0.0411	2.67***
γ₆	-0.0284	-2.43**

V-Lab

S&P 500 Equal Weight Index (EWI) Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P 500 Equal Weight Index (EWI) Analyses