CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month 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	0.3406	1.94*
αARCH	0.1368	3.41***
βGARCH	0.8145	19.04***
γleverage	1.0000	2.71***
δpower	0.9922	3.06***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3406	1.94*
α ARCH Response to squared shocks	0.1368	3.41***
β GARCH Volatility persistence	0.8145	19.04***
γ leverage Additional response to negative shocks	1.0000	2.71***
δ power Transformation power	0.9922	3.06***

V-Lab

-1x Short VIX Futures ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other -1x Short VIX Futures ETF Analyses