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	1.3480	7.60***
αARCH	0.1001	9.45***
βGARCH	0.8709	70.81***

γ₁	0.0803	5.98***
γ₂	-0.1198	-5.57***
γ₃	0.0624	3.98***
γ₄	-0.0498	-3.50***
γ₅	0.0618	3.48***
γ₆	-0.0815	-3.09***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3480	7.60***
α ARCH Response to squared shocks	0.1001	9.45***
β GARCH Volatility persistence	0.8709	70.81***

γ₁	0.0803	5.98***
γ₂	-0.1198	-5.57***
γ₃	0.0624	3.98***
γ₄	-0.0498	-3.50***
γ₅	0.0618	3.48***
γ₆	-0.0815	-3.09***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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