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	1.3511	7.64***
αARCH	0.1017	10.27***
βGARCH	0.8667	75.07***

γ₁	0.0836	6.43***
γ₂	-0.1328	-6.27***
γ₃	0.0758	4.76***
γ₄	-0.0460	-3.26***
γ₅	0.0390	2.46**
γ₆	-0.0286	-2.32**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3511	7.64***
α ARCH Response to squared shocks	0.1017	10.27***
β GARCH Volatility persistence	0.8667	75.07***

γ₁	0.0836	6.43***
γ₂	-0.1328	-6.27***
γ₃	0.0758	4.76***
γ₄	-0.0460	-3.26***
γ₅	0.0390	2.46**
γ₆	-0.0286	-2.32**

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