Deutsche Bank FX Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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CBOE Skew Index

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	2.1527	13.44***
αARCH	0.1510	10.11***
βGARCH	0.0000	0.00
νDF	2.0508	60.41***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1527	13.44***
α ARCH Response to squared shocks	0.1510	10.11***
β GARCH Volatility persistence	0.0000	0.00
ν DF Student-t tail thickness	2.0508	60.41***

V-Lab

US Dollar to British Pound GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to British Pound Analyses