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	1.3600	7.71***
αARCH	0.1023	10.27***
βGARCH	0.8658	74.37***

γ₁	0.0851	6.49***
γ₂	-0.1348	-6.33***
γ₃	0.0769	4.83***
γ₄	-0.0474	-3.35***
γ₅	0.0409	2.55**
γ₆	-0.0299	-2.40**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3600	7.71***
α ARCH Response to squared shocks	0.1023	10.27***
β GARCH Volatility persistence	0.8658	74.37***

γ₁	0.0851	6.49***
γ₂	-0.1348	-6.33***
γ₃	0.0769	4.83***
γ₄	-0.0474	-3.35***
γ₅	0.0409	2.55**
γ₆	-0.0299	-2.40**

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