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	1.3528	7.66***
αARCH	0.1020	10.27***
βGARCH	0.8662	74.66***

γ₁	0.0844	6.45***
γ₂	-0.1340	-6.29***
γ₃	0.0766	4.81***
γ₄	-0.0470	-3.32***
γ₅	0.0403	2.52**
γ₆	-0.0295	-2.37**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3528	7.66***
α ARCH Response to squared shocks	0.1020	10.27***
β GARCH Volatility persistence	0.8662	74.66***

γ₁	0.0844	6.45***
γ₂	-0.1340	-6.29***
γ₃	0.0766	4.81***
γ₄	-0.0470	-3.32***
γ₅	0.0403	2.52**
γ₆	-0.0295	-2.37**

V-Lab

S&P 500 Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P 500 Index Analyses