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	1.3526	7.33***
αARCH	0.1004	9.59***
βGARCH	0.8728	73.28***

γ₁	0.0783	5.63***
γ₂	-0.1160	-5.20***
γ₃	0.0577	3.56***
γ₄	-0.0413	-2.88***
γ₅	0.0426	2.75***
γ₆	-0.0295	-2.52**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3526	7.33***
α ARCH Response to squared shocks	0.1004	9.59***
β GARCH Volatility persistence	0.8728	73.28***

γ₁	0.0783	5.63***
γ₂	-0.1160	-5.20***
γ₃	0.0577	3.56***
γ₄	-0.0413	-2.88***
γ₅	0.0426	2.75***
γ₆	-0.0295	-2.52**

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