CBOE Volatility Index

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CBOE DJIA 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	0.7033	4.64***
αARCH	0.1115	9.78***
βGARCH	0.8508	63.54***

γ₁	0.0556	1.77*
γ₂	-0.1412	-3.24***
γ₃	0.1606	6.42***
γ₄	-0.1373	-5.85***
γ₅	0.1046	3.60***
γ₆	-0.0496	-1.70*
γ₇	0.0032	0.15

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7033	4.64***
α ARCH Response to squared shocks	0.1115	9.78***
β GARCH Volatility persistence	0.8508	63.54***

γ₁	0.0556	1.77*
γ₂	-0.1412	-3.24***
γ₃	0.1606	6.42***
γ₄	-0.1373	-5.85***
γ₅	0.1046	3.60***
γ₆	-0.0496	-1.70*
γ₇	0.0032	0.15

V-Lab

State Street SPDR S&P 500 ETF Trust Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR S&P 500 ETF Trust Analyses