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

CBOE S&P 500 6-Month Volatility Index

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CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{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
ωlong-run	0.4246	1.06
αscore	0.0385	18.61***
βpersistence	0.9967	320.89***
νDF	3.6265	7.72***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	0.4246	1.06
α score Weight on the scaled score	0.0385	18.61***
β persistence Volatility persistence	0.9967	320.89***
ν DF Student-t tail thickness	3.6265	7.72***

V-Lab

US Dollar to Japanese Yen GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Japanese Yen Analyses