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CBOE S&P 500 One-Year Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.3609	43.68***
β GARCH Volatility persistence	0.6946	98.93***
γ leverage Additional response to negative shocks	-0.3010	-18.93***
λ₁ tau intercept Baseline long-term coefficient	6.5095	0.53
λ₂ forecast adj. Forecast performance sensitivity	0.0545	0.63
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

CBOE S&P 500 One-Year Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 One-Year Volatility Index Analyses